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You can play multiplayer as long as you have internet. Internet cable or not.
Minecraft can be played online or offline. When you play online, you need Internet connection and you can play with other people. When you play offline, you don't need Internet connection but you can only play by yourself.
No.
No. Wii's don't support Java applets.
To download it from the website you need internet connection of course but once it has been downloaded you can play in singleplayer with no internet. To play on a multiplayer server you do need to have internet.