Most desktop PCs are not wireless enabled so will normally be connected to a modem/router via a wire.
Laptops normally ARE wireless enabled so can be used with wi fi out the box.
If you want to make your desktop wireless then you need to buy a wi fi device for the desktop. This will normally plug into the USB port and then "connect" to the router (you can buy wi fi cards that go inside the dekstop case but that does require taking the PC case apart).
You will need to buy something like this (PC World etc will have them)
http://www.blueunplugged.com/c.aspx?c=41106