Yea ALL 360's have a LAN connection and NO wireless connection.
You'll need a Wireless Adapter for it to connect to your wireless network, but i would simply run a cable if you can. The difference will be very dramatic. Wireless has bad lag issues and you'll suffer during online game play. Plus depending on what standard your using, interference, distance, etc all become big factors.
The Wii had bad lag when using wifi even when it was sitting directly next to my router. Lan adapter fixed it right up. Same with the 360. 360 games are very graphic intense and lots of physics involved that require a good connection if you want to ever take online seriously.
Now if your just going to be downloading content off live like demo's and such... then its not required. But I would try to get a LAN connection for gaming purposes (hence why the 360 doesn't come with a WiFi built in).
Wifi = sucks for gaming