There are two things firstly your router has a password, for sky its normally on the router (as long as your mate didn't change it). This will give you access to the router which should be on the IP address 192.168.0.1 (access through your browser this will bring up a small window)the user name is normally "admin" without the quotes. Second the WEP key/password is completely different to the router password and would be set by you/your mate. On a sky router once you have access you will see a selection on the left at the top for Wireless settings click that go to the bottom and you will see your WEP key which is in hexidecimal and very long. This what you need to provide access.
I dont want to complicate things but WEP is the least secure encryption key and should at least be coupled with MAC address access as well . On sky router this is called the "setup access list" a button aboult half way down the wireless settings page. Once you have set the WEP key on the devices you want to connect to the router click this and you should see them listed, you can then accept these MAC addresses which are unique to each device. This will then limit access to devices that not only have the WEP key but also appear in the allowed MAC address list. a bit more secure.
This all works if your router is the standard netgear one which most are.
Hope that helps.