A USB Wi-Fi adapter is a computer peripheral, and as such requires a software driver to function. This is why, when you plug the adapter into a USB port, it doesn't always start up automatically.
This can be a frustrating challenge if Wi-Fi is the only available technology for getting your system online. Thankfully, most (but not all) Wi-Fi adapters come with software on a CD. Even this can be a limitation though, as an increasing number of laptops and desktops do not have optical drives. The other issue is that the software on the CD is often not the latest version of the driver. It is best to always check for newer builds on the Wi-Fi adapter manufacturer's website. Consider the version provided in the package only as a starter to get you up and running.
Workarounds for the initial download of the software on a system with no optical drive and no other Internet access include downloading it to another system and copying it to a flash drive, moving the machine in question to a location where it can be plugged into a wired connection or using an external USB optical drive.