Welcome to the forum!
The Spider (and other FEZ boards) make great bridges like this. The detailed answer depends on what kind of communication protocol your wireless receiver supports. The Spider can do UART, SPI, I2C, plus others via the Extender module Gus mentioned. You can then send the data via Wifi using GHI’s module. NETMF does not directly support data access like ADO.NET or Entity Framework, so I would suggest writing a RESTful (WCF) web service to handle receiving your data via TCP or UDP. The service acts as the front end for Sql Server. If you have Sql Server 2008 or later, it can expose URL endpoints directly that accept XML data.
A bunch of us on this forum do .NET development for day jobs, and tinker with NETMF and GHI’s gadgets at night (or sometimes even at work if we’re lucky). Feel free to ask lots of questions and have fun!