Is there not a setting on the laptop to keep the wireless function enabled all of the time (i.e., the wireless card on).
Normally there is also a hot key combination or a button on the laptop to switch wireless on and off.
As for MAC filtering - that will stop most people connecting to your router but will not encrypt any of the information being transferred over the airwaves. With the right equipment, someone could intercept your traffic.
Enable encryption as soon as possible and try to go for WPA not WEP (more secure).