A guy's asking the same question here. The answer is, unless you buy a Wii broadband adapter, you can only connect wirelessly. After you buy the adapter, you can then plug your ethernet cord to your modem.
Oops! Sorry; it's called the "LAN Adapter", and retails for $30 at EBgames.com. Basically, you plug it in to one of the two USB ports on the back of the Wii, and then plug in your ethernet cable.
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