Luis_Filipe:
I have the same problem, anyone can communicate between yun shield and MATLAB via WiFi?
The most common method is to use a TCP socket connection. The Yun's sketch uses YunServer and YunClient to act as a server, listening for incoming connections. Matlab makes a TCP connection to the Yun. Once connected, the YunClient object behaves exactly the same as a USB serial connection using the Serial class - any code that uses Serial to talk to Matlab should be easy to port to using YunClient.
Here is some discussion on the technique: (be sure to read all the way to the end of the second topic, as it has an important update)