You set up an internet connection the same way you normally do with retail games. If you're using it on a DSi/3DS you do it through the main system settings, if you're on a DS/Lite fire up a cart/ROM that has internet capability and go to the internet settings in there to set up a connection.
Do note that DS games can only connect to WEP or no security. DS games cannot use WPA or WPA2 security, no matter what you play them in.