How are you trying to connect? Are you using a home wireless account, a local connect point like gamespot, trying to link jack some ones private wireless connection, or using a wifi adapter off your PC?
All have different routs and walk you through the basics fairly easily. If you're using the wifi adaptor click the big rectangle at the bottom and it'll walk you through the setup (if it's not the official nintendo one I don't think you have to go that route, correct me if I'm wrong.)
If it's through a local wireless and you're having trouble getting it to recognise you're machine you can manualy make it read the IP of your router or the machine your connecting through. Just get that number and in the manual setup you can physically put it in. If you read the wifi pamplet that came with your DS it'll walk you through a lot of this.
I hope this helps.
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