A Mystery Gift is a feature used to obtain Event Pokemon. You can only get event Pokemon in the time periods they are released. If an Event Pokemon is only being distributed at one place, like GameStop, you would go to GameStop with your Pokemon game, get on Mystery Gift, and select Obtain via Wireless. If an Event Pokemon were to be released worldwide, you would connect your DS to the Internet, get on Mystery Gift and select Obtain via WFC.
Check the Official Pokemon Website to see about event Pokemon.
Hope this somewhat helped.