If you have a wired connection, it connects right away, even before you log on.
If you have a wireless network you need to set it up and it is not connected
until you set it up properly as wireless has more configuration settings and
security, not present with a wired connection.

If you are running off of a CD it is running from a RAM disk and you will have
to set up your wireless every time because it is not installed and you cannot
save to a CD (read only) and changes made to the RAM disk will be lost once you
power off. The obvious solution is to run a wired connection or to install
Ubuntu so that the trouble that you go to establish your wireless will be saved.

To establish a wireless connection in any OS you need to detect your wireless,
install the appropriate driver, and then set up your network giving your WPA or
WEP security key. The kernel detects the card and it likely shows as being
present but not active. There are two solutions to this. One is to try to
download the driver from the repositories and the other is to use the Windows
driver. However, to do the last you need to install ndsiwrapper and ndisgtk.
Then you need to insert your Windows disk and find the driver (a file that ends
in .inf). This same thing is done whether you use Windows XP, Vista or Linux.
You did not have to do it for Vista because HP did it for you, the advantage of
having it pre-installed.

The first place to go is to System | Administration | Hardware drivers. It will
tell you whether your card is activated or not. If it shows the card but says
that it is not activated, it means the kernel has detected it, but the driver is
not installed. If you click Activate, it will try to install a driver, but it
can't do this because you don't have a connection. You need to get an ethernet
cable and connect it temporarily to your router, until everything is setup.

I think, but am not certain, that you will have to re-boot after you install the
driver which means that you are basically snookered as far as running from the
CD or RAMdisk because you will have to do this all over again and are caught in
a viscious circle. The only solution is to install it or use a wired connection.

If I am wrong and you do not have to reboot then you can go ahead and set up the
network with your WPA or WEP keys and you should be able to connect. For help go
to: https://help.ubuntu.com/8.10/internet/C/wireless.html

You connect with Vista because all of this work was done ahead of time for you.
When you install from scratch, you need to do it for yourself, but this is the
way you learn and become independent.