well you need a router, if your router is on the same room you can just connect it using an ethernet cable however if the router is in another location you have 2 options wireless bridge (most of them are expensive ( about $90 for a wireless G adapter + they are hard to set up)
I have this is a better solution does not need to set-up and is really fast and reliable you need this kit
http://www.amazon.com/Actiontec-Mega...3729656&sr=8-1
it use your home powerlines. you connect one to the router and the other one to the blu-ray player. just make sure you connect them directly to the outlet (they don't work well if you connect it to a powerstrip) they are capable of transferring data at 85 Mbps.
the good thing is that once you have one connected to the router you can add others for like $40 I have one for my LG one on the other room for the 360.