Arduino Mega 2560 R3 with Shield Model Wireless SD R3 not working
You see that double row of 10 pin headers?  That's an XBee connector.

https://www.sparkfun.com/pages/xbee_guide

You use it to connect your XBee module of choice (there's a few to choose from) to communicate wirelessly between Arduinos using the special XBee system.

Note that XBee is not WiFi, it's Wireless.  The two are very different things (Wireless refers to any wire-free communication system, WiFi is one specific protocol on one specific set of frequencies using a specific set of encodings, etc).  XBee cannot talk WiFi in the same way that I can't talk Chinese.

For WiFi you need a WiFi shield.

https://www.arduino.cc/en/Main/ArduinoWiFiShield