Not necessarily. Is this wireless network yours or is it someone elses? If it is not your network and you do not have the permission of the network owner then you may get into trouble (have a look here for discussion on the subject - click here)
The wireless network you are connecting to may not be connected to the internet (it may be used for an internal network only or the modem may be switched off).
If it is your network then check the internet connection of the host PC or router to make sure everything is working OK. Try connecting the laptop to the router/host machine via a cable and check for an internet connection. If this works then there is a problem with some of the wireless settings.