Encore Wireless N150 Router Security Key?

I bought a router just this afternoon, i set it up using my laptop. So it means, i connected a lan wire or whatsoever you call that into my laptop and to the router. I set it up Successfully, but the only thing i don't understand is, i activated security key and i used the WPA2-Auto for authentication key, then i put my desired passphrase. Then i waited 1 minute to be sure that it is successfully setup too. I changed my adapter setting into wireless, then i connected to my new wifi connection, but it didn't offer my a security key?

Does it mean my wifi connection is not safe? Is there a chance of someone can use my connection?