Even Windows' wonderful plug-and-play feature lets us down sometimes. It might happen that a device you connected to your machine, be it by port or wireless, is not recognized by Windows and thus cannot be installed.
A common reason for that to happen with wireless devices is that Windows already tried to install the device once but failed for unknown reasons. The device will stay unknown and is not tried to be installed any more, no matter how often you reconnect it.
To solve that you need to go to the Control Panel, Hardware and Sound, Device Manager. Search it for the unknown device, right-click it and uninstall it: