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The first thing I'd do is go to the control panel, then select the device manager option. In there, you should see an option for the network adapters - if you open it up, the network adapters on the computer will be listed. If there's a conflict that is preventing the device from running properly, you should see an exclamation point against it.
Another possibility is that the wireless network adapter may just be turned off. In the control panel, go to Network and Internet, then Network and Sharing center. (This applies to Vista; if you are using an earlier OS, it may be different.) From there, click Manage network connections, and you should see a network adapter icon - you can click Enable to turn the device on if it is currently disabled.