Well is there some guy sitting outside your house with a laptop? LOL!
MAC addresses are not set up when you pick the security key setting. They are like serial numbers for your wireless adapter. You just pick and choose which "serial numbers" can see the connection. The router you listed is more than enough to do this, as it is the one I have and we have MAC address checking enabled. You will have to be hooked up to the router with the default computer, though (the one that configured it).