I believe you have to have a broadband adapter to connect to the Internet if you don't have a wireless connection. Then just use your standard ethernet cable.
You have to buy an adapter if you can't hook it up wirelessly. Sorta sucks, but the Wii doesn't let you just hook it up to your modem.
EDIT: The official name for it is the Wii LAN Adapter, and you can find it for around $25-$30 online. Just plug it in to one of the two USB ports on the back of your Wii and then plug in your ethernet cable to that.
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