I bought a new Sony three weeks ago and the wireless has suddenly stopped working. When I flick the switch to turn it on the light does not come on and if I try to connect to the internet it tells me to turn on the connection.

Has anyone had this kind of problem? Should I just return it?

Yeah, that does sound like a physical problem.

You can try several things to confirm it is the adapter and not just a driver issue or Windows.

1. Try reinstalling the drivers or perform a restore.
2. Although a bit more difficult, you can try an UBUNTU Live CD. A different operating system may help you determine if the problem is just Windows itself.

Jennifer,
It is possible that the WiFi connection has been disabled in the OS.
Go to your control panel, Network and Sharing Center, Select Manage Network Connections. The listing for all available network connections will be listed.
You'll have one for ethernet and one for WiFi at a minimum.
Make sure that the WiFi network is enabled by right clicking the Icon and selecting Enable.

The switch on your laptop only turns on and off the WiFi transceiver. It will not over-ride the OS settings. Additionally, you may have to rescan for available WiFi access points when you move between locations.

Good catch, forgot about that one.