My belief is that cheap routers generally choke on having WPA setup. If you have a reasonably priced router then it may not be the router issue. I'm sure the best place to start researching are the various questions asked on the internet specifically to your router. In other words you search google for the model number of your router and maybe even add the words "WPA" (without quotes) into the mix.

Most cheap/unreliable routers are feeblishly equipped. That is, imagine buying a fast car when you actually got ripped off. There are a few ways to identify this but it requires at least one of the two capabilities one must have:
- A network of at least 10 or more devices connected (or associated through wireless) to that router, at random times transfer exorbant amounts of data between various devices and across various connection (i.e. through wired and wireless).
- At least a device capable of stressing out the router through requesting various data or generally spamming useless info to the router.

Assuming if you have a decent router and that you have checked google for any issues pertaining WPA, it could be a few other factors:
- You live in a crowded wireless environment and you're using 802.11b/g band (which is effectively 2.4GHz ISM band). This band is commonly shared with devices such as bluetooth, old wireless keyboard/mouse and old wireless telephones (similar to phones with DECT technology but not DECT phones).
- You probably have a script kiddie living in your neighbour-hood playing pranks by forcing you to reuse WEP. (This case is rare but I would never doubt the possibilty).
- You probably suffer from both of the effects above: a busy wireless neighbourhood and a script kiddie who's having fun making other people's lives miserable.