it could be your game, as there's a way that the connection is supposed to be established, and the first 5 or so games did i backwards. animal crossing wild world being one of those.
if it's pokemon or something, it should be fine. your router just needs to be set to a WEP code, not something else.
if you don't know what you're doing, ask your parents to do it, as it will make all the other wireless things around the house stop working/need to be reconfigured with the wep code, if you change that setting from wpa.