You must set the WEP up on the Router with a password. This will generate a long string of numbers and letters. Copy that down.
Ensure that Broadcast SSID is also enabled.
On the PC right click on the Wireless Network icon and select "View All available networks"
You will see your netwrok in the list that appears as "A Secure Network". Select it and it will ask you to input the WEP key that you copied down above. Once you have done this you will connect to the network.
Go back to the router and disable "Braodcast SSID"