It works with any flavour of Linux, because you connect to it with your wireless adaptor. As far as the computer is concerned, it is no different from connecting with your broadband wireless router at home.
The supplied software doesn't work in Linux, even with WINE when I tried, and you do need to use it at least once. That's because the standard ESSID and password are not particularly secure and should be changed.
"Insanity: doing the same thing over and over again and expecting different results." (Albert Einstein)