The raspberry pi 2 does NOT have any wireless built in. Now that being said you can use a wireless usb dongle. But that would be a problem for a different forum for sure.
Remember you can always plug in an Ethernet cable to the rasp pi2 and then to your router then boot the pi headless or connect a monitor. (I have just connected my pi directly to my PC also.) You'll have to know how to get the IP it is assigned and then from there you can log in via ssh.
You can always transfer any data to and from the pi "local" via a usb drive using midnight commander (the "filemanger" selection) in the retropie menu. Besides it is MUCH faster that way anyway.
