After setting up my router (Linksys WRT120N) and my wireless network, upon clicking on the wireless icon and selecting "Join Other Network..." a new network called SETUP shows up when clicking the Show Networks button. Where did this network come from? It is password protected, but none of the user accounts and passwords can access it. There is no way of deleting it. The network that I have initially set up is, however, working fine. (MB Pro; OS X 10.6.8)
This could be the network for a wireless printer. Its possible that someone nearby has bought a new printer with wireless functions.
Why don't you unplug your router and check to see if SETUP still appears on your MBP. If it does then it belongs to someone else near you.
It turned out that our Brother laser printer was responsible. Turning off wifi or properly configuring wifi helped to eliminate the "SETUP" wifi.