The Nintendo WiFi USB Connector is valued at $40. After downloading the installation content off the CD (or better yet getting the updated version off the Nintendo website) you plug the device into your USB drive and you should be able to get a WiFi signal for your Nintendo DS or Wii.A lot of problems have been raised by some friends of mine who owned it, however I never encountered these issues. Sometimes your router configuration or firewall could block the signal so you'd have to be a little tech savvy or maybe try tech support from your ISP or something to solve that issue. Or perhaps check the Nintendo website as it has an extensive troubleshooting guide on WiFi for the DS and Wii.
The signal it provides is good but weak. I'd recommend you avoid battling international players and try not to surf the web if you're using it so your signal doesn't weaken. This might be good for WiFi compatible RPG games but if you use it for fast pace games you might hit a ton of lag.
Another thing I think is worth mentioning is that this thing heats up fast and is hot to the touch. I wouldn't recommend leaving it in your computer, just plug it in whenever you plan to play. I haven't seen any negatives from it heating up but you should probably still be cautious since it does cost so much.
Sometimes people don't realize their internet service provides a WiFi signal, or maybe can't find their WEP key or other information to program their DS/Wii.. so it might be a wise option to contact your ISP and find out about that before you go off and waste $40 on this USB, because your home connection is most likely way better.
Update On Aug 13, 2009: I think another point worth mentionining is that to keep the signal strong and provide the optimum speed, its best if you're not using online access to other terminals while playing on Nintendo WiFi. So if you have a TV which downloads things from the internet or a laptop or a desktop in the house, probably best to turn those off or not surf the web or download content that way the connector will be the only thing sending and receiving info through the internet. Its an official Nintendo product so you can rest assured this thing works.