windows connection manager is crap. use the one that came with your network card.
all you need to do is make sure that the SSID entered is the one on your router, and it should work fine.
edit - by the way, you DONT need the firewall, wep, etc etc etc enabled. firewall is better if it IS enabled though, and the best way to restrict others from using your access point/router is to use MAC address filtering, NOT wep! wep can be broken quite easily