yeah i had this problem when i did up my wireless ... it takes a while to get to it, ill sum everything up for ya..
the problem is htat the router hasnt recognised ur device (laptop or psp or wareva) so what you need to do is:
1) open web browser and type in: routerlogin.com
2) ur username and password should be: ADMIN and PASSWORD
3) look around for the section that says "add devices" then leave the computer at that page, now go to the device
4) click run>>then type in: cmd
5) you'll get a black page, once in it, type: ipconfig/ all
6) look for ur MAC ADDRESS then just put it into the computer, where you left it at the router page... and add it..
7) once that's worked correctly, connect to ur network normally and you should be allowed in
oh and its helpful to check if ur wireless is secured or not