The modem/router I have is actually manufactured specifically for my ISP - it's not one you can buy in the shops. It uses WEP security on the highest level, as standard
Unfortunately, WEP, even at 128 bit, is pretty much pointless. At an ISSA conference, an FBI guest speaker demonstrated that a 128-bit WEP encryption key can be broken in just a couple of minutes with off-the-shelve software. (Google is your friend if you want more information)
WEP was shown to be insufficient pretty much right after it first hit the market, and the industry has been playing catch-up ever since. Currently there are two newer protocols, WPA and WPA2, that are significantly better, but you still need a 'good' long password for it to be most effective.
That said, WEP is still better than nothing at all, but don't assume noone can piggy-back over your connection 'just' because you have WEP enabled. Of course, given that ~70% of the wireless routers are *completely* open, its much more likely that someone would (ab)use those before trying to break your WEP instead.