How do you set up the internet connection with the Nintendo Wii?

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No there's no software needed. All you need is some kind of internet connection near you. If you have WiFi, you can simply use that and set it up by going to the Settings menu from the Wii menu. If you don't have WiFi, buy a USB cord for the wii at your local game store. Again, you would have to go to the Settings Menu. You can do a lot of things with your Wii hooked up to the internet like play games with real people or get new channels from the Wii Shop Channel. Have fun with your new wii possibilities