I have a Nintendo DS to connect to the internet, but my router does not support WEP. I used to be able to create a WEP internet share on my MacBook 2010, but after the upgrade to 10.11.4, I cannot.
Is there any solution?
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WEP was completely removed in Yosemite:
WEP is broken enough that you might just consider using an open Wifi connection (Security: None) but if you want to have a basic level of protection to stop someone from just walking into the equivalent of an open door the best solution would be to get a cheap secondary wifi router and set it up with it's own SSID with WEP, making sure to turn off DHCP on the router and connect it via a LAN rather than the WAN port (Apple Airports can just be put into Bridge Mode). If you're worried about security you could unplug the secondary router when you're not using it or disable it's Wifi.
If you have the time and technical chops, one option may be to set up a virtual machine on your Mac that is running Linux. For cost reasons, you could use the free VirtualBox. Then set up the Linux distro to share with a WEP key. Then you merely need to activate the virtual machine when you want to get your DS online.
Here is a post describing the tool on Linux that you might use to set this up: Host APD: the Linux way to create a Wi-Fi access point
There's no guarantee that the virtual box network card is supported, but it might be worth a try.