My wife has a Toshiba laptop. We have a wireless access point running WEP.
I let Windows manage the wireless configuration. Set up the SSID and WEP key, and have it checkmarked to "Connect automatically when in range" (or something like that. I'm at work so I don't have the laptop in front of me.)
Sounds like you have everything set correctly (because you can connect), but depending on the software you're using will depend on where that setting is.
With Windows, you have to go into the networking properties. If you running the software that come with the card, I couldn't tell you where exactly the setting would be at.