Do I connect the VBox by Ethernet cable or WiFi? Is there a difference?

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You can connect your VBox by either an Ethernet cable or by Wifi. However, we highly recommend that you connect with the Ethernet cable as Wifi connections are not always stable. If possible, connect your Ethernet cable directly to your modem instead of your router.
If that is not an option, we suggest you use Powerline Adapters or HomePlugs to extend your home network. HomePlugs can be helpful when your TV is located in another room than your router. HomePlugs come in pair. You simply plug one into the power outlet near your modem and connect it to the modem via the Ethernet cable. Plug the second HomePug close to where you want your VBox and again connect the HomePlug to the device via the Ethernet cable. Make sure your do not use any power bars, as it will not work properly.
You can purchase HomePlugs on our site; we offer the TP-LINK AV600 Nano Powerline Adapter.