Odd, my USB Connector installs and runs perfectly. Its a really odd device. It works for a lot of people, and doesn't for others. I've never had issues with it.
As for it creating a bridge, I've never heard of that solution. The actual setup has absolutely nothing to do with making a bridge. It simply installs the hardware ands turns on Internet Connection Sharing on your original Internet connection.
Back on topic - Nintendo and various other outlets have said that the USB Connector would work with the Wii.