Not all WiFi equipment is natively supported under Linux and some companies, like Broadcom, seem intent on not offering direct support. That said, depending on the device it may be supported "out of the box" on newer distributions, it may require ndiswrapper, or it may not work at all. Unfortunately you fail to mention the hardware involved so a more direct answer cannot be given.
However, all is not lost! There is a (supposedly) wonderful little tool from Linuxant that should allow you to use any NDIS compliant Windows driver on Linux. I have not used this myself so I don't know if it really always works as advertized or if it causes problems or imposes rules regarding usage (ie: is it really transparent to the system?).
You may want to take a look at the thread here. There is a step-by-step setup there, but be careful to read the entire thread because there are corrections made later on (notably, the addition of "key" parameter to the script).
Be prepared to do some tinkering to get this working. Note that the script file contains basic command line commands and that you can run these manually to test the output before trusting it to an automated process.
As a general tip, I recommend you install all the development tools when installing GNU/Linux. Coming from Windows, many people omit these because they are not programmers and they are not interested in becoming one. However, the open source nature of GNU/Linux means that you are likely to compile code anyways and therefore it becomes necessary to have these tools installed.
