Yes, apparently the key index does matter. My roommate and I stared at his Sony Vaio laptop for a day trying to get it to connect to my wireless router (LINKSYS). The router has 4 keys (all identical) labeled 1-4 in the software. I had it set to key index 2, but didn't really think it mattered b/c the keys were all identical. When connecting his laptop to the wireless network it would always 'connect' with 'limited connectivity' which we later found out occurred if you typed in a completely bogus network encryption key as well. So we finally realized the problem was the key was incorrect. Finally by luck I switched the key index on the LinkSys to 1 and his laptop was happy. So does Windoze default to key index 1 (0) when connecting to a wireless network? And if so, how does one change that?
