This is a very simple view of it all (at least, this is the way I did it) - when your Yun has booted for the first time (and it has booted, because you saw that large 'Linino' logo), it has created its own network. From your MS Windows box you should see it in a list of available networks. Click it and make your box connect to it; next point your browser to the url http://192.168.240.1; can you make it that far?
kind regards,
Jos