network security key

Can someone wqlk me through the steps to set up a network security key so that when I attempt to connect to my Dell 1184 wireless router for internet access it asks me for a password or security key.  Currently when I connect, I don't have to enter a key.  I can see my neighbors networks and I can't connect to tem because I don't know the key.  I have connected to the Dell set-up wizard and entered a 13 character code under Basic Settings, Wireless s\Security and also under Advanced Settings, Administrative Settings, I entered a password and saved all the settings.  If I disconnect from the network and reconnect it does not ask for a key.  What am I doing wrong, or what other steps do I need to take to implement a security key?

Any help would be appreciated,