You can either set up your Arduino Yun using a micro USB cable or through WiFi. I chose to set it up through WiFi and these are the steps below:

Power the Arduino Yun through the micro USB port using the power adapter (or directly connected to your computer). When you first power up the Yun, it will automatically act as a wireless access point and create a WiFi network called: Arduino Yun-XXXXXXXXXXXX Connect your computer to this network. Open a web browser and go to this address: http://arduino.local or http://192.168.240.1 Enter "arduino" for the PASSWORD and click the LOG IN button. Click the CONFIGURE button. Give your Yun a unique name and enter it in the YUN NAME field. Enter a password in the PASSWORD field. Select a timezone from the TIMEZONE dropdown menu. Either select a wireless network listed in the DETECTED WIRELESS NETWORKS dropdown menu or enter a wireless name in the WIRELESS NAME field, select the security type in the SECURITY dropdown menu, and enter the password in the PASSWORD field. Click the CONFIGURE & RESTART button. After you click the button, the Arduino will reset itself and join the specified network. Connect your computer back to this specified network.

Now that the Arduino Yun is connected to your wireless network, now you can program the Yun over the wireless network instead of through a USB cable.

If you have any trouble with this, please see this link: http://arduino.cc/en/Guide/ArduinoYun