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If you call your internet provider, assuming you have broadband, they will sometimes provide a wireless router that is integrated with you cable/dsl modem.
If not, so as slightlyaskew said, and purchase you own wireless router. Stay away from the big name electronics stores (Be$t Buy, Circuit City, etc) and either find a local PC shop, or shop online. I suggest newegg.com.
Once you set it up, I have two mandatory tips:
1. Change the default password. Too many people do not and that is the first thing a hacker will try.
2. Set up encryption. An open network allows your neighbors to use you connection for free, as you already know since you mentioned using someone's.
If you go to a local shop to buy one, they may have a reasonable rate for home set up. Shop around. If not, see if someone in your IT department where you work (if you have one) can help you out, but don't assume they'll do it for free. Most techs do work on the side, and will do it cheaper than most PC shops.
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I reject your reality, and substitute my own
-- Adam Savage
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