margomael:
Thanks for the comment on 3,3V. Do you think I should connect it to the 3,3V pin on my Mega instead of the 5V?
For power yes that's advisable, although some people do use 5 VDC it will likely shorten the controller's working life.
There are also some libraries for Wii, as well as other controllers, in the Joysticks / Gamepads section of the playground.
margomael:
If the computer needs drivers for a bluetooth, how you "install"a similar thing to Arduino?
Drivers are just pieces of code that tell the computer's CPU how to communicate with specific additional devices. The Bluetooth libraries in the Playground I linked to serve the same purpose for Arduinos, if you include them in your sketch.