Depends on what you are trying to set up. You can do an Ad Hoc connection similar to what Unicron is explaining. You will be sharing your internet connection with the desktop that has internet access. You can also transfer files between the two. The only issue is that you will have to have the desktop on in order to use the internet connection.
The other type of connection is an Access Point. This is where you purchase a wireless router. The router becomes the centerpoint for access. This means you can access any computer connected to the router, and you can access the internet without having to keep a desktop on. Keep in mind that this is the best setup if you are using broadband. This setup is pointless if you are using dialup (The Wireless Router hooks up to your broadband modem / adaptor). If you are using broadband, this is the best way to go. You don't have to share the internet connection, and the speed does not bottleneck in the cable (The slowest WiFi access point allows transfers of up to 11Mbps).
First thing you need to do is find out what WiFi standard your laptop uses. Is it 802.11B, 802.11G, or 802.11A? See here for differences
http://compnetworking.about.com/cs/wireless80211/a/aa80211standard.htm
Some cards are compatible with 2 or more standards
The most common are B and G...
B standard is nice and cheap..you get transfer speeds of 11Mbps, and you get a decent range. The only problem is if you keep it near a cordless phone or microwave, but we use it and have never had a problem.
G gives you the fastest speed (54Mbps), but is more expensive.
Oh...whichever way you go...make sure you use the security encryptions (Read the manuals). We recently taught a security class, and talked about "War Drivers". These are people that drive around, and pick up unsecure wireless networks. They can either abuse your internet connection, or do more malicious acts like getting into your computers.