Nintendo has opened a new DSi Ware game download service in Japan on Christmas eve 2008. On the opening day you could download a game called Moving Memory Book which allows you to do notes and comic book strips with the DSi's camera. You can also download games like A Little Dr. Mario, Paper Airplane and Utsusu Made in Wario which cost 200 to 500 Nintendo points each. All games available on the opening day are made by Nintendo.

Where do they download from Wii, computer, or do they need to go to a Nintendo shop?

Download is via DSi. You log-in with your previously downloaded web-browser and pay via Nintendo Points, which you want to convert into DS Points or how it's called before you proceed. The affair's region-locked... of course.