Make sure your laptop is setup for no encryption, to be able to make an AD HOC connection (my wireless driver in my laptop lets me specify adhoc, infrastructure, or any), and that the SSID of 'Connect' is correctly capitalized (i.e. upper case 'C', and lower case 'onnect'). Finally, you should be able to tell when the module associates as the Yellow Link LED will blink very slowley. If it comes on solid it's instead associated with an Access Point, so you'll need to power cycle the module.
On a side note, you'll want to make sure you've disabled any firewalls on your Laptop in order to discover the module with the Digi Device Discovery Tool.