Hello, this is Emily.
This typically can be a driver issue. Windows may not automatically detect the right driver and it requires manually installing it from the computer's manufacturer website.
If you are stuck on the set up page and cannot go any further, ideally it is easiest to connect via ethernet to get past this step, so you can download the driver and install it.
Otherwise, use this guide: https://aka.ms/networksetup
The step you need is under header "Check and reinstall the Wi-Fi network adapter drivers (for advanced users)"