I was told (by my ISP) that My modem has its own passkey and that I don't need one(!) it was strange but anyway.
Thats a mis-leading statement, if your router already has a passkey then use the passkey or change it (I assume all passkeys can be changed).
..so how can I find out what is my modems passkey?.
Thats hard to say sense all modems are different and the setting for the passkey will be found in different locations. I know some ISP's will place the passkey they assigned (probably a random generated key) on a label and stick it to the modem. If the passkey is not on a label, there should have been paperwork with the modem that has it somewhere.
..and how can I make my connection safer?
By using any encrypted connection and never using the "Public network". Public networks are used in public for anyone to use that wouldn't know a passkey. It is advised to use extreme caution when using one of these networks in public. When you create a Public network at home, you are in a sense inviting anyone to use your Internet connection and possibly access to your computer.