The Nintendo WiFi USB Connector costs $40. Its purpose is to create a Wi-Fi signal in your home that either your Nintendo Wii console or Nintendo DS/DS Lite/DSi handheld system can pick up for online function - allowing you web access, the ability to download games and channels, and also to experience free online multiplayer in various Wii and DS games against anyone around the world.
Installation is quick and easy. You can either use the CD that comes with the connector or just visit the official Nintendo website where you're given access to the latest version of it which may address problems that the version on the disc may cause you to stumble across. So its relatively easy.
Some factors that may hinder the USB from working include strong firewall settings or router settings so you may need to contact your ISP or perhaps the maker of your router for help. The official Nintendo website also provides thorough instructions for any errors or problems you may be having so it can guide you step by step through common problems and solutions.
One thing I notice about the USB is that it gets hot very quickly. That hasn't seemed to affect gameplay but I recommend only plugging it in when you intend to play online just incase. The connection itself is decent at best - you'll want to make sure nobody else is using internet in your home to ensure the connection is its fastest and the closer you are to the USB, the better your connection will be. With the USB, I'd recommend against online play with players across the country or internationally as you may experience heavier lag.
These days most people with a high speed internet connection have WiFi access so be sure to check with your ISP if it supports it before you run out and invest in this because at $40, its pretty expensive.
Update On Sep 03, 2009: To establish a connection to it simply turn on your DS or Wii and go to the settings where a 'connect to WiFi USB option' is and select it. Your DS/Wii name appears on your PC screen as a system trying to get access so you can then verify its you or someone you know so nobody else can use the signal.
Update On Sep 03, 2009: It is only compatible with a PC with Windows XP or Vista version 1.06 or higher and you must have a broadband internet connection.
According to the official Nintendo site, "The Nintendo Wi-Fi USB Connector has been discontinued until further notice. As an alternative for on-line access, DS owners can use a standard wireless router or Hotspot location." You can find those at nintendo.com. So the only method to get it now appears to be from online dealers or eBay & Amazon.