Buying a wireless network isn't overally expensive, just perhaps time consuming. For example, I recently setup a friend's network for
1x PCMCIA 802.11g for $10
1x PCI 802.11g for $10
1x Router 802.11g for $9
(After mail in rebates. Typically every Sunday local big name stores will offer dlink/netgear/belkin whoever for discounted prices.)
The 54mbps is fast enough for Internet browsing (for gaming or file sharing then go wired). WPA (acctually WPA-PSK, where it generates a key based off a password) is very easy to setup, and doesn't have the easy to break into problems that WEP has. MAC filtering works quite well (stops someone from accidently getting on your network, as well as stops someone from easily peeping), but doesn't stop someone from using a packet sniffer (plus the fact that MAC addresses are relativily easy to spoof).
One thing that should be noted is that while Windows (I know that XP can do this, and I believe that 2000 as well) can be setup to share a Internet connection, in my experience it does this quite poorly. Even if you do decide to go with wired connection, I suggest you get a router to share the connection (which has other advantages such as a blocking a lot of junk traffic).