The Nintendo Wi-Fi Connector is no longer being produced by Nintendo, but it can still be found in stores such as Best Buy and Wal-Mart.
The price ranges from $9.99 to $39.99 depending on the store.
The Nintendo Wi-Fi Connector is only recommended if you do not wish to buy a full priced wireless router.
I honestly do not recommend for you to buy it, as it has both limited wireless range, and it may disconnect you from the internet every 15 minutes.*
I instead recommend you to buy a wireless router, which usually have more features and a longer wireless range. A wireless router is also compatible with other wireless devices such as the PS3 or a laptop. (Whereas the Nintendo Wi-Fi Connector is only compatible with the Nintendo DS and Nintendo Wii)
Edit:
The Nintendo Wi-Fi Connector is basically a mini router for your computer, or in other words; for your personal use.
It does not enable your DS to connect to restricted access points, such as a Hotspot at McDonald's or Star Bucks.
If you get one, you will need to plug it into an available USB connector on your Windows XP computer. (Note: Other versions of Windows, Mac and Linux are not supported with this device)
The Nintendo Wi-Fi connector is only an alternate source to send wireless internet to your Nintendo DS or Nintendo Wii. If you already have a router, there is no need to buy a Nintendo Wi-Fi Connector. Also note that the Nintendo Wi-Fi connector is *only* compatible with the Nintendo consoles. Laptops, PS3's or other gaming consoles will *not* connect to the Nintendo Wi-Fi Connector.
-Wiiplay_ds