OPEN and SHARED are two different flavors of WEP. Pick one.
Either one will work.
Nintendo recommends SHARED. Why? I don't know. The only advantage I know of is that if you enter the wrong WEP key, it's easier to tell from the error code that you need to re-enter the key.
I recommend and use OPEN. OPEN is more secure because SHARED sends the same pattern on the network every time a device tries to connect, making it easier for an attacker to obtain the key (it's like giving the attacker a copy of your lock to play with at home, so he can break into your house while you're gone). One disadvantage is that if you enter the wrong WEP key, the DS will give you an error indicating that it could not obtain on IP address, which is kind of misleading, when you are trying to debug wireless issues.