If your reader is capable of a wi-fi connection, that doesn't mean you get free wi-fi everywhere. You'll need to connect to your home internet which you pay for and are able to set up for wi-fi; or find a free wi-fi hotspot to use, such as in Barnes & Nobles bookstores, Starbucks and other coffee shops, hotels, etc.
And you can always turn the wif-fi off if you don't want to use it. I don't know of any reader that forces it to remain on since it drains the battery faster with it on.
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