As Nodsu said, disable security, security can be added after you get it working. Make sure it works without any security first, then enable it, this goes for encryption, firewall settings in the router and firewall software on the computer(s).
I'd not recommend using CH6, almost every router sold (at least in the US) is on 6 by default. If you have a neighbor with a wireless router, his could interfere with yours if he has not changed it(most people don't even know how to change it). I would recommend 11, as nodsu suggested. I'd also ask if you have any other 2.4GHz devices such as cordless phones, wireless security system, baby monitor, etc... I once dealt with a guy who had a set of wireless speakers that were causing a problem, he didn't mention it because the stereo wasn't on, but the speakers were in Standby mode which is as good as on.
Also make sure your "radio" is enabled on the card. This may be refered to as radio, antenna, signal, or simply wireless. If it is off you won't see anything.
Oh, also make sure you are "broadcasting" from the router, otherwise you'll need to configure the card to connect using the SSID(default for linksys routers is linksys) it is case sensitive!
If you are using WinXP SP2, you might want to look for a newer driver for that card, I know that many manufacturers have recently released drivers to fix issues with SP2 and wireless. As you probably know, the odds of buying any device that already comes with the latest driver are slim to none.