As with all firewalls, it is much simpler to uninstall the firewall while setting up the network. Once the network is established, reinstall the firewall, which should then detect the network and prompt you to allow it.
You can also go to Tools > Network Neighbourhood, and tick both boxes.
When you say reinstall the firewall do you mean take it off the system completely? I've tried switching to 'Allow All' connecting the network then changing to'Normal'with no result. I'd be interested to hear from anyone with Sygate Firewall who is able to connect to the internet via a wireless network.