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Finding What You Need
Essentially, the main difference between wireless devices is in how they connect to your computer. There are three main connection methods: PCI, PCMCIA and USB.
Desktops: PCI Cards
PCI stands for Peripheral Component Interconnect. It is an old and established way of installing new equipment in a desktop computer. If you find a wireless card that looks like a green rectangle with something sticking out of the end, then what you've got is a PCI card.
To install a PCI card, you need to -- horror of horrors -- actually unscrew your computer, take the cover of, and plug the card in inside it. Scary as that might sound, it is designed to be very easy, and once it's done your computer will have internal wireless networking capabilities for the rest of its life.
You should go for this option, then, if you own a desktop computer, and you're not afraid to get your hands dirty (perhaps literally -- I've seen years worth of dust in those things) by installing it yourself. Or, of course, if you're willing to pay someone to do the installation for you.
Laptops: PCMCIA Cards
PCMCIA stands for Personal Computer Memory Card International Association. A PCMCIA slot is a small slot in your laptop that allows you to insert these cards and so add functions to your laptop quickly and easily. They were originally for memory expansion, but are now more often used for networking.
Almost all laptops have PCMCIA slots. If you're not sure whether yours does, take a look at the side of the machine -- you should see a slot there, probably near the CD drive. Even if you do have a slot, you need to make sure it's free, by pressing the button to eject anything that might be in there. If it's an Ethernet card then, well, not to worry, as you can just replace that, but
if it's anything else then you might want to consider using USB instead.
For 99% of laptop owners, at least, it's best to use PCMCIA -- the only reason some go with USB is because they didn't know they had an alternative.
The Third Way: USB
Whether you're using a desktop computer or a laptop, you can use USB (Universal Serial Bus). USB ports look like very small slots, and could be almost anywhere on your computer -- but it will help you to locate them if you remember that they very rarely appear in groups of less than two. Computers have come with these USB ports for years now, and newer computers often come with four or even more. If you need more space, you can buy a splitter (a USB hub) that allows you to use more devices than you have ports for.
So where's the problem? Well, you wanted a wireless network, right? With USB, your network won't be entirely wireless, as there will still be a small wire between your computer and the USB device -- it might not sound like much, but it makes USB wireless on laptops a bit of a joke.
Another factor is that small USB devices are very easy to break -- when I used to use USB wireless, I went through three new receivers inside a year. This is offset, of course, by the fact that USB wireless cards are usually the cheapest ones, and are far simpler to install than PCI.
Essentially, if you're a laptop user without a free PCMCIA slot, or you're a desktop user who doesn't relish the prospect of opening up your PC, then USB is a good 'third way' for you.
If you do go the USB route, however, and you have a reasonably new computer, you should check whether the device you're buying supports USB2. Most newer computers have USB2 ports, and using specially-designed USB2 devices with them can give you a significant speed boost.