You don't setup wifi to the printer.. you setup wifi to a wireless router.. and you setup the wireless printer as a client on a wireless router. It is the wireless router that enables everything to work. Then you get onto the internet to get the driver so you can print to the printer.
(The printer probably came with a CD of drivers but that will not be much use to you)
BTW buying a Thunderbolt to Ethernet cable is not too expensive and a really good idea.