Go back into the Network Connections folder and make sure the Wireless Network Connection is "Enabled". If it isn't, just double-click it to enable it.
Then go into the D-Link Connection Manager and select the "Wireless Networks" tab, which should list all of the available networks that it finds. Click the entry whose SSID (network name) matches that of your router and then click the Connect button at the bottom. This method is preferable to trying to set up the connection manually.
Incidentally, I have the same adapter (which was bundled with my DIR-615 router) running in Windows 7 SP1.