I gotchu, trachy.
- You know how to receive Challenge Mode already, so no need to explain.
- You transport Challenge Mode by the Unova Link via Infared Connection.
As the features are part of the Unova Link, you have the ability to send the modes to other players game utilising the game's IR port. As such, if you have a friend that has unlocked them, they can send it to your game so that you can play with them on. Once obtained, if you restart your save file, you will lose access to them again.
- You can receive it anytime you are in the game, regardless of progress.
- They are activated by going to Unova Link on the home screen of the game (where all the New Game, Mystery Gift, etc), then to the Key Link, then Set Difficulty and then selecting Challenge Mode from the menu.
About the WiFi connection:
There is no OPTION for Nintendo WiFi Connection on the menu: