You need to use their proprietary - and ridiculously expensive - wireless connector which takes up a USB port on your 360. It won't use a standard, inexpensive 802.11g USB dongle. Nice of Microsoft to make that so convenient, eh?
But, you only get stuck paying $100 for the Microsoft "wireless tax" if you want a wireless connection to your 360. There *is* a standard RJ45 jack on the back of the 360 unit. You can just plug an ethernet cable into the back of it without having to buy anything further and you are good to go. That will give you a much faster connection, too. If you can manage to connect it with an ethernet cable that would be a better choice, even if cost was not an issue.
Of course, that also means running an ethernet cable to wherever your 360 is.
Whether that is or isn't convenient is a matter for you to decide. If you use wireless on your PC to connect to your cable modem already, you should consider relocating your cable modem and router near to your 360/TV setup. Then, running a short ethernet cable from your router to the 360 is easy. You already have cable going to your TV, so that's not much of a feat to split that off to the cable modem - or getting you cable internet provider to do it for you.
If you are not getting your broadband via cable, then the question of how convenient it is to relocate your router near to near your 360 may well be different
