Try deleting the existing wireless "profile" which Windows has saved and then go through the procedure to Connect again. You should be prompted for the encryption key and, once connected, a new "profile" will be saved.
How you delete the profile depends whether you're using Windows' Wireless Zero Configuration or software provided with the Wireless Network Adapter.
If using Wireless Zero Configuration, go into the Network Connections folder ("Start > Run", type ncpa.cpl and click OK), right click the Wireless Network Adapter and select Properties. Click the Wireless Networks tab, highlight the profile (Preferred network) that matches your router's SSID and click the Remove button.