@Soulfox -- That isn't always the case. A lot of desktop computers still don't have built in wireless connectivity and require the user to go out and buy an adapter that typically plugs into a USB port.
Since that is new hardware, the drivers for it probably won't exist on your computer.
Still, most of those are "plug and play." All that means is that you plug in the adapter, the computer reads it and then installs whatever software and drivers it needs.