First you’ll need to be running at least one Server 2003 (mixed or native).
Second if you’re using an XP workstation to modify your Group Policy you’ll have to copy a few files.

Copy these files from %systemroot%\system32 folder on a Server 2003 server to %systemroom%\system32 on your XP workstation:
wlsnp.dll
wlstore.dll
ws03res.dll

Then you’ll need to register wlsnp.dll
Run; regsvr32 wlsnp.dll

Now, in a policy you’ll find settings for wireless at;
Computer Configuration/Wireless Settings/Wireless Network

Setting wireless setting in a policy is exactly the same as entering the setting locally.

To ensure the policy is found and applied you should connect the client to the network wired and run; gpupdate /force.

More information at:
http://www.petri.co.il/working_with_wireless_gpo_settings_from_xp_sp2.htm
http://www.petri.co.il/creating_wireless_gpo_settings.htm
http://technet.microsoft.com/en-us/library/bb878079.aspx
http://technet.microsoft.com/en-us/library/cc771557.aspx

Vista:
http://technet.microsoft.com/en-us/magazine/2007.04.cableguy.aspx
http://www.petri.co.il/creating-wireless-network-group-policy-part-1.htm