I have been digging through threads on this topic for a day or so, now. I finally found a solution that works for me: use "Open System" instead of "Shared Key" on your router if you are using WEP.

Apparently, the N900 does not support "Shared Key" mode. The error message could be a bit more explicit!

For those who haven't a clue what the difference is between Open and Shared: they establish the connection differently, and Open is, by the consensus of The Internet, the better one to use (if you must use WEP in the first place!).