Once the list opens, find the name of your wifi connection and click on it. A popup will ask you to enter the passoword for your wifi. Once you enter it, click Connect and wait for it to connect. Then right click or use the back button on your remote to go back to the main screen.
The Settings Section
This icon will open the Settings window for your device. You can also access the settings window by clicking on the More Apps icon and you will see it in the list of apps. Do not go into the settings section to change anything if you are not sure what you are doing. Most people only need to go into this section to connect to their internet through wifi. If you are hard wired ( an ethernet cable plugged in), you don't need to go into settings as most devices will automatically configure your internet setting when you have an ethernet cable plugged in.
This is the main window of the apps section. Device settings and other information is available here.
At the top left corner of the window, click on Wi-Fi to see available wireless networks.