By default, the Pokemon Latias only appears in HeartGold while Latios only appears in SoulSilver. But the Enigma Stone sets off a chain of events in the game that leads to an encounter with the Pokemon that does not generally appear in game.
So if you have HeartGold you will encounter Latios, while SoulSilver players will encounter Latias.
To get the Enigma Stone, you have to have obtained the National Pokedex in HeartGold or SoulSilver, which means you have completed the Johto portion of the game and have defeated Lance and the Elite Four.
This is not an in-store download. You must connect to the Internet via your Nintendo DS using the WiFi option in order to obtain the Engima Stone. Instructions on how to configure your DS are in the instruction booklet that came with Pokemon HeartGold and SoulSilver. (page 35)
If you need further help, please see the Nintendo WiFi site. Do not post questions about Nintendo WiFi in the comments here.
The Pokewalker Yellow Forest event ended yesterday, but in what may be a sign of things to come with Pokewalker routes, a new WiFi download was announced today.
Called the Winner’s Path, it features more pokemon that you may need to complete your national pokedex.
This download event runs from May 6, 2010 through to June 26th, 2010. Nintendo has included a guide to the pokemon and items you can collect on this route and how many steps you need to take to have a chance of finding them.
As with the Yellow Forest event, this is NOT an in-store event. This route can only be obtained via Nintendo WiFi, which requires you to have WiFi access to a real internet connection. Instructions on how to configure your DS for that sort of connectivity are in the instruction booklet which comes with Pokemon HeartGold and SoulSilver. (Page 35 in the SoulSilver booklet.)