How can i set up my new macbook to a linksys wireless router that has wep?

Open up a finder window.

Select "Internet Connect"

Select the Airport tab from the top.

Click the drop down box next to "Network"

Then you should be prompted for the WEP password, simply enter it, and log into the network.

If your question is about connecting to a WEP protected access point that isnt your own, you want to go somewhere else, but there are ways to packetsniff the network to gather the WEP key... however that isn't exactly legal.