Nope, there's no built-in wifi on that board.
The question of what you should use really depends on your need.
- Can you get a cable easily to the PC from the router (always the best option if possible... if "yes" - do that, end of story. If not, read on...)
- How far away will the PC be from the wireless router? Through how many walls of what type? (Do you need long range?)
- Is this just for Internet? Do you have high speed Internet? Will you be copying any files between this computer and others on the local network (Do you need high speeds?)
- Are you putting a graphics card in this build? (You only have 3 slots in your mobo, so a PCIe card will potentially partially obstruct the airflow to a GPU, and may not even be compatible...