I have tried every setting on my router (E4200) which allows a/b/g/n mixed etc but ScanNetworks only rarely finds it. All other WiFi devices at varying ranges find it with no problem.
@ddod The DFrobot link was for instructions on how to upgrade the firmware using windows (not for their Wifi product). It is the only reference out there for the process of upgrading the firmware (and it didn't work - see original post). I think it's pretty poor that there is no official published process for windows on the arduino site.
Thanks to everyone for contributing your suggestions but I don't think anyone can blame me for sending it back (which I have now done).
I am reading good things about Imp and there is an Uno shield for them too (plus the Imp + shield is cheaper than the Arduino WiFi shield). It maybe that it is not as flexible, but given all I want is a simple client connection it looks very inviting.