The first time I came across this problem, I was flabbergasted. I had a laptop that was connected to a wireless network and had a wired ethernet cord plugged in. It was using the wireless for all its network connections. From then on, I have checked the network adapter priority on each and every laptop I see. On Vista and XP, I still see the occasional laptop with wireless a high priority than a wired connection. There is NO scenario where that makes sense. Anyway, here is how you change it.
Network Connections -> Advanced -> Advanced Settings
Then you just change the order of the network adapters in the top box here.