Everyone, please ignore Alex. He doesn't know what he is talking about. "OK" may be the more common and older spelling, but "okay" is also standard and acceptable. Just consult reputable usage guides and dictionaries.

So often this kind of nitpickery about rules of usage concerns *dumb* rules, and the people who wield them are usually elitist busy-bodies.

Incidentally, according to WikiPedia "the okay spelling of it first appear[ed] in British writing in the 1860s".