Go to the "Mystery Gift" bit on the menu when you start up your B2/W2 game, then "Receive Gift". Finally, go to "Receive via Nintendo WFC" . In a minute or two, your game will tell you that you have to go in a Pokemon Center to receive your Keldeo. Do exactly that, and you will get it.
Note: You have to have an empty space in your party.
Source: I did this all myself