One possible solution, although coming from Fedora, from this article:
Error for wireless request "Set Mode" (8B06) : SET failed on device wlan0:
The problem you are facing is that
there are two methods of controlling a
wireless card in Fedora. You are using
the one called "Network
Configuration". The preferred method
of controlling wireless cards is
"NetworkManager" which is a different
program.
If NetworkManager is running, it
automatically stops Network
Configuration controlling your card
and you get the error you have found.
If you have an entry for your card in
Network Configuration where you are
now on the "Devices" tab, highlight it
and click "Edit". In the new window
make sure that "Activate device when
computer starts" is NOT ticked. If it
is there then "Controlled by
NetworkManager" should be ticked. That
last will only be there if your Fedora
is relatively up to date.
Then look for NetworkManager on the
top Gnome Panel in the notification
area to the right. When you left click
on it, it should present you with
available wireless networks. Left
click on one to be asked for any
encryption key and subsequently a
password to hide it behind.
Should NetworkManager not be running,
go to the Gnome System Menu -
Adminsitration - Services, start it
and NetworkManager Dispatcher and save
the configuration.
That got mine going.
Another possibility from Set Failed on device wlan0 :
After bringing wlan0 down it accepted the command “sudo iwconfig wlan0 mode ad-hoc” and then I brought it backup again with “sudo ifconfig wlan0 up”. So, if you get this error message, try bringing the interface down first and see if that works.
Since your card is the AR5001, it is known for having problems under Linux.
The article Atheros 802.11g PCMCIA card says :
The Atheros chip-set is supported by the madwifi driver, which is not a part of the standard Linux kernel, but it can be downloaded from http://sourceforge.net/projects/madwifi/.
This article then describes how to download and install the driver.
Another useful article might be : Atheros AR5xxx devices (MadWifi), althogh coming from Debian it might be less relevant.
For installation on CentOS, see this : Setup MadWifi on Centos5.
If this doesn't work, maybe you can find a suitable release here : Index of /madwifi (found via google, have no idea who this website is).