Win Vista : Connect to a secure network:

Choose Connect Tto from the Start menu. This starts the Connect to
a Network Wizard.
Click the network you want.
Click Connect.
Type the security key or the passphrase that was assigned
to you, or insert the USB
portable device that contains
the network settings.
Click Connect.
Specify whether you want to save the network connection or whether you want it to start automatically whenever you start Windows.
Click Close, and use the network.