What you are seeing is not unusual. You are connecting to the Network but don't have the correct settings to use the Network to connect to the Internet.
People who know a lot more than I do will tell you more but you probably need to set the TCP/IP and DHCP. Go to 'Connect to' from Start, then select 'all connections' then highlight your wifi connection and chose 'Change settings'. You will see TCP/IP as an option - highlight it and click on 'Properties'. Here you should chose 'Obtain IP address automatically' and 'Obtain DNS automatically'.
I use XP to totally control my WiFi connection - if you have enabled the DLink Utility you can't use the XP WiFi Connection Manager.