Authentication is a method by which the two ends of the link verify their identity. The Open System authentication is no authentication, i.e. the access point accepts the client as is (modulo any MAC address filtering etc.). Shared Key authentication requires that the client use its WEP key to gain access. There is no mechanism for the access point to prove its identity! And since WEP keys are easily obtained by snooping traffic, little is gained by using authentication. However, if you want to play with it, these are the steps required.
ESSID="xxxxxxxxxxxxxxxxxxxxxxxxxx"
which was inserted when starting WEP, to
ESSID="xxxxxxxxxxxxxxxxxxxxxxxxxx managed"
Remove the card, and re-insert, and you now also have authentication of the client to the access point. Of course, this does not authenticate the access point to the client, so you could be tricked into connecting to somebody's rogue access point, with all that implies.