When running wpa_cli, enter the two commands:
This is what the results look like on my laptop:
bssid / frequency / signal level / flags / ssid
00:14:bf:13:0d:9d 2462 176 [WPA-PSK-TKIP] jesnet
00:14:bf:98:27:ad 2437 175 [WPA-PSK-TKIP] linksys_SES_38253
00:14:a5:30:01:b4 2422 183 [WEP] Motorola
00:14:a5:0d:a0:fb 2412 199 Motorola
00:16:b6:30:ca:81 2437 192 linksys
Note the values in the fourth column. This tell you how you need to configure wpa_supplicant.
As I stated earlier, your wireless device needs to be associated with the Access Point before DHCP will work. So dhclient failing is normal at this point, but the error message you saw doesn't seem right. After loading the windows driver, did you remember to also run "ndiswrapper -m" and then "depmod -a"? Throwing in "ldconfig" can never hurt either. The "ndiswrapper -m" step configures a module alias for the ndiswrapper device. The "depmod -a" step was probably done in the "make install" step, but you can repeat it again without harm. These may help the system detect your wireless device when you boot up. I don't think that "ldconfig" is needed in this case. It is used when you install a new library path.
Backing up a bit, I would recommend that you check out the ndiswrapper wiki. Look up your wireless device if it is listed, and make sure that you use the Windows driver that is recommended. Sometimes the driver from the cdrom install disk doesn't work with ndiswrapper. If your device is listed, there will probably be a URL linking to the driver file that you need to download. If the device doesn't seem to be working, this may resolve that problem.
Also double check that "lsmod | grep ndiswrapper" shows that the ndiswrapper kernel module is loaded.
Also be sure to read the files in /usr/share/doc/packages/ndiswrapper and /usr/share/doc/packages/wireless-tools and /usr/share/doc/packages/wpa_supplicant. They will probably point out a number of things that I have forgotten to mention.