I've had the same experience. Targus has not released a driver for WM5. The 2003SE driver loads, but won't run, claiming that the IR port is in use, and instructing how to enable it. That procedure does not fix the problem, however.
I've also e-mailed Targus, with no response. It's a shame. This is a really nice keyboard, and it seems that the driver modifications needed to make it work with WM5 should be easy.
http://www.targus.com/us/product_details.asp?sku=PA870U
I also called Dell tech support, and they just point out that Targus only supports SE2003, not WM5.