WEP only relates to the local security of your wireless network (which should always be the most secure you have available, unless you have a really big reason not to), so it should have no impact on the game. Just be sure that your router is set to use a channel with as little interference as possible so that you get the best speed and reliability.
The game uses ports 6112 through 6132 (UDP) by default, but they should not need to be forwarded unless you're having trouble, in which case it can help for troubleshooting.
