You have to do something that requires Wi-Fi access. The easiest thing is to connect to the Kobo store. You don't actually have to set up a Kobo account or anything. You just need to tell the device that you want to browse the store, and it will attempt to connect. Not finding a connection, it will then prompt you to set up the wireless network.
Kind of a pain, but I suspect they did it this way to avoid confusing people who don't know anything about wireless networks, and might not even want to use that function.
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