That's right, unless your printer has an ethernet port on it (and of course your PC also has an available network port), it won't work. And even if it does, you'll probably have to reconfigure stuff on your PC to work since the printer will now need a network port and IP address instead of a USB port. The software that came with your printer should have a utility to help you with that.
An alternative is to get an external network print server, but that costs a lot more than a USB cable, and also generally requires a USB cable anyway. (You connect the server to the network with an ethernet cable, and the printer to the print server with a USB cable.)