Assuming you've followed the recommended Apple installation procedures....
The antenna connection should fit snuggly.. (almost a click feeling), should not interfere with the bar hinge deal that secures the AE cards placement.
Once all that is in place (should look like what the illustration appears to the left of the AE card) you should be good to go.
A few other things to consider, 802.11 b/c/g channel (1 - 11) if there are any other networks in the area on the same channel as you they will compete. Good rule of thumb, keep 2 channels up or down from the nearest 802.11 wireless network. A nifty tool to use that is virtually dummy-proof is MacStumbler. You can download it at Versiontracker.com. That will show you the local Wireless networks, what channel they are on, and signal strength.
If all else fails, utilize your 90 days of free AppleCare phone support. They'll walk you thru it on the phone.
Good luck!