You don't. Just connect the player to your TV and connect the power cord to an AC outlet and you're ready to play Blu-Ray discs, regular DVDs, and music CDs.
To "stream" movies from Netflix over the internet you have 2 choices. Either connect a standard network cable (ethernet cable) from your router to the ethernet jack on the Sony player, or connect the special Sony Wi-Fi adapter to the player (costs an extra $80 or more).
3rd option: Buy the next player up in Sony's range which includes the Wi-Fi adapter (costs about $40 or $50 more than this S370 model).