I'm not to sure on what exactly the situation is but I'm guessing your at home trying to connect to your wireless router via your desktop PC?
If there is another PC on the network, use that to access your router to find out the type of security you have and if its WEP what the key is.
You will be able to access the router by opening IE, firefox or what ever explorer you have, put the Default Gateway address in and hitting enter. e.g.
192.168.5.1
Bearing in mind your router is not password protected you should be able to find out everything you need on there.
EDIT: also while trying to connect, turn off any firewall software you are running just until your connected. That can also be a problem.