hello and welcome to the forum!
some adapters are known to be unfriendly with linux even with the right drivers
sometimes all you need to do is open pclinux control center/network and internet/setup a new network interface/wifi and then select a windows driver
the most common devices have the windows driver already loaded in pclinux so all you need to do is select the driver and possibly will be loaded automatically, if it is not listed all you need is a inf file that comes with the driver for winxp/vista, usually you find it easily when you browse the driver cd of that device
some devices will use the linux driver if available but depends on the model you have
to be sure about that usb device you have, please connect it and open konsole, write lsusb and post the results