I am running Windows 7 also but I don't remember a set-up key. When I first set up the Windows 7 network I created a home group which had a password but that was 10 digits I think, and I don't think I was ever asked for it anyway.
If you go into Control Panel\All Control Panel Items\Network and Sharing Center\Media streaming options do you see your media player listed? There is a useful article on the basic WMP setup at http://www.dlink.com/support/faqDetail/?prod_id=3483.