Thanks for the answers. I'd not heard of the "connect even if the modem is not broadcasting" option in Vista before, so I'm sure that must be why I had a problem.
As for the router announcing its presence - if broadcasting is off, and you scan for networks, does that mean it doesn't show up at all? Or does it show up but not have the SSID, say something like 'default' instead, so you need to know what the SSID is to connect to it?