The method in harrymc's answer didn't do it for me, and i've read somewhere it only works for WEP.
I had this problem with Win XP SP2
The options when right clicking the network connection and going to properties, included WPA and WPA-PSK but not WPA2 and WPA2-PSK (you will see the relevance of this soon). That is normal for SP2 to be missing those, though there is a patch.
In this screen after clicking properties, you see what security settings are available e.g. WEP, WPA, e.t.c.
Connecting wirelessly to a router.
When I tried to connect to one router, it worked.
When I tried to connect to another, it didn't work and gave that message "Windows Was Unable To Find A Certificate To Log You On To The Network"
This is the second time i've seen that, and both times the following solution worked(suggested by my ISP Zen).
Download and Run the following patch
Update for Windows XP (KB917021)
Requirements Windows XP Service Pack 2
The download is called WindowsXP-KB917021-v3-x86-ENU.exe
That then adds options of WPA2 and WPA2-PSK
Then even when I choose WPA it connected, but when I went back to the connections properties I see it had gone to WPA2. So, the message about not finding a certificate, was in my case, because the router was on WPA2 and Windows XP SP2 wasn't supporting that until I downloaded and ran that patch.