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Which printer? Check your instruction manual. You Mac and Printer need to connect ot a common wireless access point, like a local LAN. I do not think that there is a direct connection between the devices.
Be aware that some wireless routers have security settings that restrict the MAC addresses of devices authorized to connect. You might need to disable this feature in order to initially establish a connection with the wireless printer. Once the connection is established you should be able to read the MAC address, enter it into the list of authorized devices, and re-enable the security feature.
I have found that the wireless connection works best for a printer that you turn on when you need to use. If you printer is on all the time, then it will enter a power saver mode, and go to sleep. I have only had success "waking up" a sleeping printer that is hard wired to a network port. The wirelessly connected printers do not wake up for me.