With an Xbox wireless adapter it will connect directly to your wireless router, assuming that is connected directly to your net connection. That is the simplest way of doing things. That way, the devices are independent of one another.
You will either need a wireless usb dongle for your PC or to buy a PCI wireless card to fit into a PCI slot. I personally use a wireless dongle for my desktop. It is a Linksys WUSB600N ver1, although I only use it in G mode. It works very well.
I have my wireless router directly attached to my net connection. Everything connects to it wirelessly, this includes: Win7 Desktop, Vista Laptop, Xbox360, PS3, iPhone 3Gs and iPod Touch. The wireless router does all the work of assigning ip's to the devices and they work seamlessly. The only reason you'd want to have the connection going through the PC first is to network the devices together.