MAC address filtering alone is completely useless as a security measure. It acts only as an inconvenience, not any kind of security. Using something like Airsnort or Sniffer Wireless one could capture the (unencrypted) packets, take note of the workstations MAC, and then set their own machine to use that MAC address..
WEP is a pain because you have to use either 5 or 13 character passphrases, and many routers only let you enter the key in hexadecimal.
WPA or WPA2 PSK (pre-shared key / shared key / shared passphrase / personal) is the one to go for, but windows machine need either to be XP SP2, or have some kind of wireless card configuration utility loaded to connect properly.