Is there also a way to connect to it besides via internet?
Might you have meant to say........connect to it besides via (a wired) Ethernet cable connection?
If that is what you are asking, it is possible to connect your Mac to the Time Capsule via a wireless connection....if you don't want to connect using a wired Ethernet cable connection.
However, on a network, the Time Capsule must connect to your modem using a wired Ethernet cable connection.
If you need additional assistance, it would really help if you could tell us what version of the Time Capsule that you have. Is the Time Capsule shaped like a "tower".......or......is is "flat" like a small white pizza box?
If you have the "flat" version, we need the model number. It's on the bottom of the Time Capsule, usually embedded in the foam pad base. The model number starts with an "A" followed by 4 numbers. Post back with that info please.