So long as you have wireless in your home you can connect through that. If you don't you'll need to go to a wifi hot spot. You then need a wifi game such as animal crossing or pokemon diamond / pearl.
How to do it on animal crossing:
Simply go to the dog dudes at the gate and try to connect, once it fails it will open the connection settings.
How to do it on Pokémon diamond / pearl:
Simply turn the game on but instead of continuing your game go to Wifi Settings on the main menu.
Only ever needed to do it on these two so I don't know about the others.
