Having WPA to WPA-PK2 security means that a DS can't access a router. WEP or open security is the only way to go, so naturally, people with a firewall and half a brain (or a decent ISP provider) will need one of these unfortunately.
First of all, the thing acts the maggot for anyone who believes in staying modern. It's totally incompatible with Windows 7, so if you have this operating system only, you're relatively screwed. Sorry. Installation is fast but in my case, it had errors twice before succeeding. And you have to uninstall the whole thing before reinstalling or you end up with it being rather buggy. Make sure windows has auto-play turned off otherwise it'll take over and the installation will fail. It'll be nasty and specific about your IP settings, so be prepared to visit nintendo's website a lot if you're not sure what you're doing.
Essentially, setting it up can be as short as two minutes if your PC is already set up the way nintendo likes it, or as long as several hours trying to figure out the one detail that's stopping you from connecting to it. Patience will be required. As for once it's set up and working, it's fine. You'll rarely need to think about it again, just keep it plugged in and have the software on your PC open when using the DS's wifi will work as normal. If you're desperate for Wifi, it's a must but don't be too desperate. Setup may leave you hanging for a few hours. If you're not too pushed, you may consider trying to abstain from the wonders of online play unless you like playing around with PCs enough to merit making this thing work.