Any way to install Drivers for USB On the go? How can I install a driver for Android for devices plugged through USB OTG? Is that possible?
USB HOST Mode requires Android 3.1 or above. So long as your device is running the correct OS you should have the required drivers to run USB Host Mode. However not all ROMs are equal. 

You can find USB Host Mode driver apps in the Play store for some models that do not have the drivers built in.

HTC Incredible
http://forum.xda-developers.com/showthread.php?t=751535

Nexus One
http://sven.killig.de/android/N1/2.2/usb_host/

Installing and using the USB Host Diagnostics app from the Play store will allow you to run diagnostics showing if the OS currently supports USB Host Mode and if your device has been detected.

Loading the USB Host Mode drivers allows your device to connect to a USB device in Host, however you still need the drivers for that device to be present. Many devices will function under generic drivers included in the OS, but not every device is compatible with generic drivers, nor has their specific drivers included as well. I would proceed by installing the correct driver for your dongle before proceeding. However, if you want to bridge these connections, this is not a function supported out of the box by Android. A good router would be a better choice. To enable bridging on Android you will need to be sure that your wifi module is linux supported, a working wpa_supplicant module from linux for that dongle, recompile drivers for the dongle, recompile a bridge utility from linux, and time. Would be easier to use two andoid devices, each on a different wifi network, connect them with bluetooth, and in android 3.0+ you can bridge the two wifi networks this way.