Note that in Control Panel there is a "third network setup."
Start | Settings | Control Panel, and all the way down at the bottom you should find a separate "Wireless Network Setup Wizard."
My impression has been that most people follow the setup instructions that come with their routers, and that usually works okay; but especially in WinXP the built-in wizards seem to be pretty good, and a run through there - if that's not the way you've been hacking at it - might give a different result than using the general connection setup and network setup tools that are further up the list of Control Panel items.
Since I don't have anything "wireless" except a mouse whose sole "extra feature" seems to be devouring batteries, I haven't poked around in that wizard, so can't offer any details of how it's different.