click here for a tutorial I wrote on how to set up wifi in PCLinuxOS.
That's all you should need to do unless your wireless chip-set isn't being recognised.
If it isn't, you need to copy the Windows driver for your chip-set to PCLinuxOS and use ndiswrapper to install the driver. (ndiswrapper is the container in which the driver sits and is not a driver in it's own right).
Have a look at the "how to" first and come back and tell us the result.