In the ancient church, THE WAY referred to Christianity.  The early Christians were called "Followers of The Way".  The Way was the way of life that Jesus taught the world through His ministry.  This can be summed up in the following passage from Matthew 22:37-40

37 ... "You shall love the Lord your God with all your heart, and with all your soul, and with all your mind. 38 This is the great and first commandment. 39 And a second is like it, You shall love your neighbor as yourself. 40 On these two commandments depend all the law and the prophets." 

The use of the term "IN" with THE WAY comes from the use of the word regarding relationship with the Holy Spirit.  One is referred to as being "In the Spirit" when they are walking in holiness.  It means: "to be one with" or "joined with".  In that sense we use  IN THE WAY to mean being One with THE WAY of Jesus Christ.  

For this reason, we call upon all to:

Walk IN THE WAY
Talk  IN THE WAY
Live  IN THE WAY