This happens a lot when walking down the street with a wifi PDA (say hp 4700 running wm2003se).
I assume the "connected" indication means an IP has been allocated by the access point's DHCP server. This would not happen, I assume, if the network was encrypted (WEP or WPA) because then the PDA asks for a key.
It's possible that *some* people are running access lists based on the MAC address. I do this at home (and I disable SSID broadcast for what good that does) but very few people know about this.
It's also possible that the discovery of a network can take place at a poorer signal strength than is required to use it, but would DHCP work then?
I'd guess that I can use maybe 1/10 of networks that show "connected".
Any ideas why?