How to control LED using Arduino as a webclient? [solved]

What Zoomkat said.

A more traditional web approach would be to have the wi-fi shield listening as an HTTP client and have the web server POST an update to the wi-fi shield when the buttons are clicked. External IP addressing and firewall issues you will run into on this path are well-covered in the forum if you search a bit.

If you want a persistent connection look into "telnet". But it would require special code on the server side.

-br