Moved to "Networking"
It's a wireless dongle. Uses ICS on the PC to share the connection wirelessly with the Wii & DS (my brother has one, & found it very annoying).
robolots - 
Do you have a software firewall running on the PC? [& if not... get one!]
There are various apps which require permission to connect so the Wii & DS can get 'net access, plus certain IPs need to be "Trusted".
http://www.nintendo.com/consumer/wfc..._USB&catId=USB
Some troubleshooting info:
http://www.nintendo.com/consumer/wfc...ionTrouble.jsp
Also, as it says in the 2nd link, make sure you're using the latest version of the Nintendo software.
I think you'd be better off with a router... easier to set-up, & works perfectly (no issues using my Wii via my Netgear router). Only thing with a router is that the DS only supports WEP & not WPA (if you use the Nintendo WiFi USB dongle, it uses a proprietary method)..