This problem has bedeviled me for some time now -- my wireless Vista laptop could only connect to the router for Local, not Internet access. I think I have fixed it, although I could still be unpleasantly surprised. I googled solutions for this problem and it's amazing how many people have had this problem and equally amazing how there is no consistent solution. So here are my suggestions:
1. Make sure Always Detect Settings is checked in IE, Tools-Internet Options-Connections. For some reason in Vista it apparently doesn't default to checked.
2. Disable TCP/IPv6 on the Vista computer by under Wireless Network adapter properties.
3. Perhaps most importantly, turn off Windows Firewall on all computers. You may keep you Antivirus firewall.
4. Restarting the router by unplugging it and plugging it in works but is only a short-term solution.
This topic may be updated as more problems/fixes arise, but I hope not!