As Andrew recommended, do take the five minutes or so on the (free) O2 support line - so the O2 staff can talk you through the quick process of 'talking' to the router from your P.C. - and asking it to give you a WPA or WPA2 link. 
It is  no co-incidence that one of the  led lights on the router stays conspicuously amber  - and will not turn green until you 'do the business'.  I assume it comes with WEP as standard, as that requires no input from the prospective user, whereas a switch to WPA or WPA2 requires the typing in of an agreed alpha-numeric code , unique to your router.
Even if you ever do loss contact with your router, due to user error - 
secure re-connection is easy with O2 gear. The same for adding an extra laptop or home P.C. to your network later - a quick job, and handy for letting visitors 'piggy back' on your wireless ( subject to your security clearance of course ).
I also get about 4 Meg for my basic tariff, ( Orange struggled to feed me 1 Meg- and blamed B.T ! 

 ) - and that is just fine and dandy. 
Do however " heed the Andrew" ...  :)
All the best !