Microsoft Wireless Keyboard 3000

Move all other sources of wireless away from it, make sure there are no metallic objects between the receiver and keyboard; same applies to other transmitters for other devices, make sure they are clear from your range.

Also, check if there is any other wireless device operating on the same frequency, within a ten metre area.

On another note, make sure that there is nothing lodged under the Enter key (use a compressed air can or something similar, to blow anything you may find stuck down there), or check if the travel of the key is sufficient to hit the microswitch on the circuit membrane.

If all that fails, take it back and buy one with wires. (Especially if you are an FPS gamer, as the latency on some wireless stuff means the difference between fragging and being fragged!)