It has worked for me with a USB connection, but it's a bit "hit and miss" whether it finds the camera when you start it up -- I'm not entirely sure if you're only asking for a wireless option?
In any case, I have had to resort to dis- and re-connecting the camera, press the shutter button to take it out of upload mode, restart the NX Tether itself and/or wait some 20+ seconds to allow the system to connect.
In the end it has worked every time I've used it, but only after some minutes of trying to get it to work.
This was on a Mac; I haven't tried on a Windows computer.