It sounds like you bought the wrong type of card.
Right now, there are two types of notebook add-in cards made: Those using the Expresscard interface and those with PCMCIA (Cardbus). Expresscard is the newer interface and new laptops don't come with a PCMCIA slot. (I think Lenovo sells a Thinkpad with that slot for legacy cards, but I digress...)
Without knowing the age of your laptop, I can't know which type of card it supports. Here's a diagram of the different card types, courtesy of Wikipedia: http://tinyurl.com/ykxbwu4
(Forum kept adding smiley to wikipedia link <_< )
If your laptop supports Expresscard and you bought a PCMIA wireless card, there are adapters, but you'd end up with the entire length of the PCMIA card sticking out the side of your laptop.
I recommend double-checking the type of card your notebook supports and finding the right one instead of messing with an adapter. Find the model number of your laptop and check HP's website or do a Google search. You might be able to return the one you have now to the store or do an exchange.