As mogune said, check to see if you have any default security (WEP/WPA etc...) set up on your wireless connection (in the router). If you have, then you will need the relevant key entered into your Desire for it to work.
Edit: Check the bottom of the router, it may just have this information on there.
I have the same problem with the same router
The only difference is that I have a Vodafone sure signal as well
I've spoken to Vodafone who are sure its a faulty handset (I'm not convinced)
So far I've been waiting for 5 days for them to get the desire back in stock so I can get a replacement sent out to me (they did try to get me to accept a repair but that isn't happening)