WEP Open vs Shared key

At first glance, it might seem as though Shared Key authentication is more secure than Open System authentication, since the latter offers no real authentication. However, it is quite the reverse. It is possible to derive the keystream used for the handshake by capturing the challenge frames in Shared Key authentication.[2] Hence, it is advisable to use Open System authentication for WEP authentication, rather than Shared Key authentication. (Note that both authentication mechanisms are weak.)

Source: http://en.wikipedia.org/wiki/Wired_Equivalent_Privacy

Also: How to define WEP key on WIndows client
Set up a security key for a wireless network
http://windows.microsoft.com/en-US/windows7/Set-up-a-security-key-for-a-wireless-network