Get everything up and running before you set up encryption. The chances of anyone hacking into your system during set up is very remote.
WPA is more secure than WEP & you can only use one type of encryption. Enable the firewall in the router - The windows one is adequate on it`s own but only protects you one way, The router firewall protects incoming and outgoing (I think)
Try the setup wizard first. You can always alter setting afterwards. If you move the router you just switch it back on and the settings will still be there.