What kind of wi-fi do you have? Home setup (I.e. ADSL)? If you do, you'll need to enter the WEP key from your wireless network. If you click on Set Up Wi-fi Network, click on Scan for Networks, then select your network. You might be prompted for the security details then.
You have to be connected to the wi-fi first, then go back to App World, and it should then try and install BB ID. If you're lucky, it will succeed.