First thing's first, I guess. Do you have a source of wireless internet? (a router, access to a HotSpot, etc.) If not, no WiFi for you. T_T
Assuming you have wireless...
tap into the Nintendo WFC settings button on the beginning screen.
SSID: the name of the network (i.e. if you have a linksys router and never bothered changing it... the SSID would be linksys)
WEP Key: The password to the network, IF it uses WEP. Note: the DS/Pokemon can't handle the more secure forms of wireless (such as WPA2, and I think even WPA). If you have a router, make sure it's not set to those options.
For networks that you need usernames etc. to log onto, don't put a password here. (Note, for some of these, such as college networks, you might need to register your device with the network before the wireless will start working.)
Auto obtain IP/IP Address: If you've got a stable IP address for your DS to use, put it down. If not, just do auto obtain.
Subnet Mask, Gateway, probably gonna leave those blank.
Auto-obtain DNS/Primary DNS/Secondary DNS: Auto-obtain DNS (set to yes), is probably what you'll be using. Ignore Primary/secondary.
...hope that helped.
Edit: Oh, right. Forgot. If you're using a router, make sure that it's got the latest updates installed. Also, if you connect fine to the GTS but can't connect in the WiFi room, check your firewall settings.