That's often the error you'll get if you don't enter the wireless key exactly as it's printed on the router or as shown in the router's config utility.
Each letter must be in the same case (ie capital or not capital as the case may be), and take care not to confuse:
The letter 'O' with the number '0'
The letter 'b' with the number '6'
They are common examples of where mistakes are made.