Just bought my kids a ps3 but we cannot figure out how to connect it to the internet?

Any of the two will work it all depends on preference. If the modem or router is too far from the console then you would most likely want to go wireless. Here are instructions how to do each:
WIRELESS (WIFI):
Step 1: Turn on the PS3
Step 2: Once on main menu go to settings and under settings select "Network Settings"
Step 3: Select "Internet connection settings" if prompted that you will be disconnected from the internet select "Yes".
Step4: Select "Easy" on types of installation.
Step 5: Select "Wireless" to choose what kind of internet connection you want.
Step 6: Select "Scan" to search for internet access points.
Step 7: Select your home connection when the screen comes up with all the found access points. If your home Internet access point requires a password enter the password when prompted and save your settings.
Step 8: Test the connection to check if you configured your settings right if successful you are good to go. If not go back and check your connection settings for your home internet access point. You are now connected to the internet!
HARDLINE (Wired): Must connect ethernet cable to PS3 before turning it on!
Goes like this: Arrows are the cable (===>)
Internet Line ===>Router ===>PS3
Step 1: Turn on the PS3
Step 2: Once on main menu go to settings and under settings select "Network Settings"
Step 3: Go to "Internet Connection" and select it to Enable it.
Step 4: Select "Internet Connection Settings"
Step 5: Select "Internet connection settings" if prompted that you will be disconnected from the internet select "Yes".
Step 6: Select "Easy" on types of installation.
Step 7: PS3 will automatically check your connection network setup and set the settings for you.
Step 8: The settings will appear and press x to save the settings.
Step 9: Test your connection if it was successful you will see succeeded nest to "Obtain IPAddress" and "Internet Connection" you are now connected to the internet!

You can directly use an ethernet cord using the port which is the most reliable/stable connection. Or you can use the wireless internet if applicable.

This site explains well:
http://www.ehow.com/how_2291028_connect-wireless-internet-playstation-3.html