While I have setup many such connections what I've found is some smartphones don't do WPA2. I have to use the Cnet Networking forum advice of router defaults, broadcast the simple SSID and WPA. Some devices don't do WPA so we have to decide if we'll risk WEP.

To make matters worse I have THREE WINDOWS MOBILE phones on my desk (I author WM applications) and the setup from one to another has nothing in common.

Shame on the vendors!