Problems connecting on my new Mac Book Pro!

Just turn it on and got to the option about selecting your Wireless internet, It picks up my network and I type in my wep key password but then It comes up with a Airport Error and something like 'Cannot connect to selected network'

I'm using a Belkin router if that is any help in the matter.

Also, if I say I have no internet connection can I still connect later?

Thanks in advance.