You just need to buy yourself a wireless router then when they come out to activate the broadband they will make sure it's all connected up for you. I brought my Linksys router over from England and it works perfectly.
Cost-wise, I have 1MB broadband, Showtime movies and a land line and I pay about 500AED per month. Not sure how that cost breaks down off the top of my head but you can have different packages / levels on the broadband speed and TV options.