Well I'm totally confused.
Any DVR software that works with the HDHR will be able to record, so I don't understand your "no capture" comment. Since you said "watch/record and capture" in the previous section you seem to be implying something other than recording but I can't figure out what.
AFA the wireless issue is concerned, if you were planning on using a PCIe card then you must have planned to have an antenna cable run to your myth box. In which case, should you decide to use an HDHR instead, you'd probably just place the HDHR next to the myth box (where the antenna cable had to be run in the other case) and then do a short cat5 cable run between the HDHR and the Myth box. I guess you might need a switch if you one have one ethernet port on your myth box, but the wireless router shouldn't get involved in any of this.