Zune shows the correct SSID and the Lumia 800 is connected to the same SSID and USB plugged into the PC.
Click on the NEXT button and after a few moments it fails with error code: C00D07C9
I can sync with Zune via USB and use all other data services on the Lumia via WiFi - just the Zune wireless connection sync setup does not work.
Have reinstalled Zune and also tried on a different PC with the same error.
If you have other devices connecting to your network, make sure they are connecting at the same speed. I had to force every thing to connect at 802.11n. I don't know why/how this fixed my problem, but it did.