How do connect a Canon MX870 all-in-one printer to a MacBook Pro?

You just set the printer up just like you would another computer or other networking device.

If using Wireless make sure the printer has the network SSID (the name of your network), the encryption (WPA-2) and the correct passWord. Set the DHCP (IPv4) to auto and it should receive the IP address.

Try going to Canons support site and make sure you have the latest drivers and if you don't have the manual then download the manual for free.