Check in the Device Manager, if you see a yellow sign of exclamation with your WiFi Adapter, you would need to download and install driver for your WiFi adapter. In case you can't find driver, please post make/model number of your WiFi adapter and we would help - thanks!!
Reboot Windows and connect adapter in the USB port at the back of CPU.
If it is detected, you may install the driver from CD (if you have one) or download it from manufacturer's website.