If you have a wifi router then the set up is very easy. Go to the Internet section of the Wii setup menu and tell it to set up a new wireless connection. If you have WEP security you'll need the passcode and if you have WPA you'll have to change to WEP or no security.
If you don't have a router then you'll need to get one, either a wireless one or a wired router. If you go the wired router route you'll need the Wii LAN dongle.