You may be on the right track, but it kind of depends. The rc.wireless script really works only if the driver for your card is already loaded. Depending on how your system is set up, that may, or may not, be true. Personally, I've always found it easier to either have a separate script I run when I need, or to add the needed commands to rc.local, which is the last startup script run in Slackware. However, if you give us a bit more detail about what driver you're using and how you load it, we can probably be a bit more specific.
Question: so this a script file that I need to run? I don't know how to run Linux script files. Are they like DOS Batch *.bat files?
Script files are the rough equivalent of DOS batch files, but in reality are a WHOLE lot more powerful. The bash scripting language is simply much, much richer than DOS ever was. In essensce to make a script file you need the first line to contain the pointer to the bash command interpreter (#!/bin/bash) and then you need valid bash commands on the following lines. Once you save it as a file and make it executable, you have a script file.
Now for Slackware wireless, the rc.wireless is the script file that sets up the wireless card using the configurations in rc.wireless.conf. As long as rc.wireless is executable, it should get run at boot time. Of course you can run rc.wireless at any time after boot if your are playing with getting it to work. Unlike Windows, you don't have to reboot the system to get the various bits to work. Also, rc.wireless.conf isn't a script, so it doesn't need to be executable.