The Windows ones don't allow you to do WEP, at least none that I found. Only open (unsecured) or WPA. Also, I never had any luck getting the DS to detect an open wifi made this way. The DS is notoriously picky with APs.
I used an old wifi router that I plugged into my laptop to get a WEP network up for the DS, which I unplugged when not in use so people wouldn't hack into it and steal my wifi (which is very easy with WEP)
You could probably get an old router dirt cheap on eBay and the like, for like 5-10 bucks. They weren't very expensive when they were new. I used an old Linksys WRT54GL, anything that's 802.11g should be old enough to allow you to select WEP and the DS only does 802.11b anyway so it doesn't benefit from anything newer.