On her blog today Lorna Mitchell talks about a problem she encountered with the Magento web API interface - an "Access denied" message that was keeping her out.
I've been working with the Magento Web API lately, and the first problem I ran into was actually getting access to it. Contrary to its reputation, I found some perfectly good documentation outlining how to connect to the service and use it.
A search for a fix to her "access denied" message lead her to this forum post talking about web service permissions and how it relates to user setup. An API key and username are needed to work with the API and can be set up in the user's information.