This can be a dangerous option because - depending on the router and the router setup - you might also loose the connection to your internet service provider. Don't do this unless you know how to set up the router to reconnect to your ISP.
If your wireless router was supplied by your ISP or you have a modem/router combination unit then contact your ISP as cautioned by neartheredocks before resetting the unit.
The vast majority of folks own their own wireless routers and they are not directly connected to the internet but rather an ISP supplied cable modem. Resetting your router to factory defaults simply removes previously entered customer created settings which 99 percent of the time are security specific whether it be MAC filtering, or creating a WEP key which sounds like what you have setup considering you stated you entered a password.
It should also be noted passing a bad password to many routers results in the unable to join error you describe so I would make sure you are entering the password correctly. Passwords are case sensitive so double check when entering it that you are entering it correctly.
A factory reset of the router should as neartheredocks implies be a last resort and is usually performed when folks forget the admin profile and password required to access the router's configuration interface.
If you are familiar or comfortable working with the router's setup let us know because if you can see the config we can likely determine if number of devices that can connect is limited, if MAC filtering is active, or. If any other policies are in place that could be the cause of your I ability to connect to it.