Try this....
Attach an ethernet cable from the router to your Mac. Look in your router user manual. Find the reset button (usually on the back, a pinhole). Reset the router to factory default. Log on to your router and access the setup menu. Do not enable security, but go ahead and enter a channel, DHCP, network name, DNS settings, turn on wireless transmission of course.
From the OS X side, make sure you can connect to the net with the ethernet cable attached. If OK, reboot the router and remove the ethernet cable. Reboot your Mac. You should be able to connect wireless from OS X.
Now boot to Windows and use the new connection wizard. You should be able to "see" the wireless signal from the Windows side (network name, not secure). If you can get on the net from Windows boot back to OS X. Attach the ethernet cable again. Go back into the router and enable security. Do not use WEP. Use WPA or greater. Make sure you write down the pass phrase. Reboot the router, remove the ethernet cable again, go back in settings in OS X and put in your pass phrase. Make sure you can get on the net from OS X.
Boot to Windows and do the same thing. Enter your password and verify you can get on the net.
Regards.