How do you work wi-fi

You now all I wanted for Christamas was a DS and I got one. Then the new mystery dungeon explo... came out. I had to save my allowences for 1 month to buy it. woohoo I got the game, yeaih! Then I ask my friend how to connect to wi-fi. He said it was simple, just go to a mcdonalds or starbucks that has the sign WE HAVE WI-FI HERE. I found a mcdonalds that had the sign. Well to my surprise it didn't work then I went to ask to a guy who worked there. He said tha I needed a code. He gave me the code, I tried it again. This time I realize the game wasn't asking for a code! I tried all day. I asked my friend again and he said that I needed to buy a special cable.