During setup, you're prompted to "Connect your KidsWifi" and given a list of Wi-Fi networks. If your home Wi-Fi network isn't listed, first make sure it's running by checking the network list on another device like your phone.
KidsWifi connects to 2.4GHz networks. All routers create a 2.4GHz network by default, but some have an option to only broadcast a 5GHz network. If you've set up your home router this way and want to connect your KidsWifi wirelessly, you'll need to change its settings to broadcast a 2.4GHz network as well.
If you prefer, you can connect your KidsWifi by cable to your router instead.