Verified answer

Essentially, the problem is that Nintendo doesn't have an event planned out for, well, for any part of the world as far as I know. Here's what I can tell you from what I know: As of now, there are no Mystery Gifts over Wi-Fi because there have been no events, period. This means that any of the items like the Azure Flute, etc. are unavailable to anyone except those with Action Replay DSes. Another thing to keep in mind, Nintendo generally has events that you must PHYSICALLY attend to get anything good. However, some are speculating that with the addtion of Wi-Fi in Diamond/Pearl, that shortly after Nintendo holds a physical event, they will also release the items to be obtained over Wi-Fi. How much of that is true? All of it. Or, maybe none of it. But, you can't get event items yet, that much is true.

How do you get the mystery gift option? What do you have to do?

you should have wifi and an event.