Tell DirecTV you want access to On-Demand, and they will hook it all up for you. You will most likely get what they call a Wireless Cinema Connection Kit, or W-CCK. This is a DECA adapter that is used to bridge the coaxial cable network all of your DirecTV receivers are on, to the WiFi/Ethernet network that your computers etc. are on to get internet access.
I believe current standards is for them to automatically include this in the initial install, but you might want to verify with them that you are going to get it (assuming your install hasn't already happened). If you have already had the DirecTV equipment installed and they didn't include the W-CCK for some reason you should be able to log into your account, or call them and order one sent to you for self install. It should only run around $32 with shipping I believe.