From wikiAnswers, who, in turn found it on the Nintendo website:
The Nintendo Wi-Fi USB Connector is unable to connect to the Nintendo Wi-Fi Connection. Please read the following information:
* Are you using an anti-virus or firewall security program (such as Norton, Symantec, Zone Alarm, etc.)? If so, please read the following:
*
o Can you add a device or application to the "allowed list"?
o Check for an option to "add" the registration tool to its list of allowed applications. Test the connection after adding the registration tool.
o Disable the personal firewall portion of the software*. Test the connection.
o Disable the entire security program, and test the connection*.
* Does your Internet Service Provider (ISP) require you to sign in each time you wish to connect to the internet?
Some popular ISPs require a login each time you wish to connect, instead of an "always on" connection. Because the Nintendo Wi-Fi USB Connector does not have a login tool to work these types of connections, the USB Connector may be incompatible with your home network. You may want to contact your ISP, or purchase a compatible router instead of using the USB Connector. Click herefor help finding a compatible router.
* Are you using a router? Most routers have built-in firewalls. Some firewall settings could interfere with the USB Connector. Try logging into the router using its default IP address (consult the router's owner's manual for assistance) and lowering the security or disabling the firewall altogether*."