WPA is a more advanced form of security. Uses stronger encryption with a password that is determined by the user.

WEP is a pre-determined sequence of random characters for the password. Not as strong.

You can change these by logging into your router, which depends by the brand. You can usually either go to "routerlogin.net" in your browser (or something similar), or (if you know it), put in your local IP. Common defaults are 192.1.1, 192.0.1 etc. I'd just google your type of router, and see what the login is.