Then you obviously haven't connected to the internet correctly. Go to the address it tells you to to figure it out.
Somehow you may have put them in the SD memory card.. Btw, what channels did you buy/download?
Did you put your WEP key and the ESSID? ( That may be the DSi )If not look on your router. On the side it should say WEP:xxxxxxxxxxand ESSID:xxxxx
He's right.