LAN stands for local-area network, meaning the network that is off the modem in your home. If you have wifi, that is your LAN, and to add the device first you will need the drivers for the device, Windows should install them, if not then you need to go to the manufactures website and find the devices product page and download the driver. If that's all taken care of then you need to connect to the network and enter a password if necessary.
Depending on what OS you have that can vary slightly. What operating system are you running and what USB Wireless device are you trying to setup?