I'd like to ask if the new MacBook Pro with Retina Display can be connected to Internet through a DSL wire. Suppose I don't have wireless, how am gonna connect to the Internet?
It is not a "DSL wire". You would connect to your DSL modem/router using an Ethernet cable. Get a Thunderbolt to Ethernet adapter. Mine works well.
Even better, get an airport express. Then you will have wifi and a little added security since you won't be directly connecting your computer to the internet.