Novice Needs Wireless Adapter

The computer is a desktop, and I would like to know which is better, the small adapters that plug into the back of the computer or the desktop adapters like the Linksys models that sit on a desktop. The computers are about 20 feet from each other through a wall. The router is an AT&T model which is a combination modem/router. Is there anything I should look for in particular?

Also, I have an IMac with an airport card which is currently on this home network in that room. I am replacing it with the above mentioned Windows XP based machine. Once I have installed the adapter, do I need to install the AT&T software to configure the connection for the internet on the XP based machine, or, like the Apple, will XP automatically find the signal? Or is there something else I need to do to establish the connection in XP?...

Thanks in advance...