XP or Vista?
Right-click the wireless network icon in the system tray and then click View Available Wireless Networks. Click the network name you want to connect to and click Connect (bottom right). Now type your WEP/WPA key and click Connect. After you're connected, you can close the Wireless Network Connection window.
Go to Control Panel > Network and Sharing Center > Set up a Connection or Network (in the left pane) > Manually Connect > Next. Now type in the Network Name (SSID), select Security Type and type in the WEP/WPA key.