The Wireless Online Depot is a building with orange roof. They are located throughout the world. In the current version (1.4.9) there is a bug where when you can't connect to the server (due to your firewall or due to the server being offline) you'll get stuck. The easiest way to get unstuck from this problem is by sending your savefile to someone who can connect to the server or disconnecting your internet. The moderators of /r/pokemonzetaomicron are always happy to help you with this.