Not sure if you still need answers to your questions, mate, but just in case you do.....
The Nintendo Wifi USB connector is what you'll need if you've not got a wireless router. They're expensive... not sure if there are cheaper 3rd party ones you can use instead. You'll not need anything else to get online (apart from a DS and some games of course
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They're easy to set up. At the bottom of the setup screen is a button for using the USB connector, so just select that instead of setting up a wireless setting.
Personally I've got a wireless router so I use that instead. It works well but Nintendo only made the DS compatible with WEP encryption instead of the more secure WPA. This isn't relevant if you're using the USB connector, but it sucks for everyone else.
I guess the only other thing that you may need to be aware of is if you're using imported games you will find that some of them are restricted to which server you're able to connect to, so if you've imported a game from Japan then (for some games) you'll only be able to play on Asian servers, which means your ping will suck. It's not all games that are like this though.
What online games have you got? Mario Kart DS is awesome online
