To set connection:

https://www.instructables.com/id/The-First-Usage-of-ESP8266-With-Arduino-Uno/ 

Follow until Step 3: CHange your baud rate.
If you want to proceed until finish, its depends on you

*if not working, remove IO 0 first followed by RST and CH_PD wire one by one
(do remember to unplug and plug back the power) 



To test wifi connection:
Download library for this Shield.

https://www.cytron.io/p-cytron-esp8266-wifi-shield 

Use Sample coe name CytronWifiDemo
Change your pass and SSID

Output at serial monitor Baudrate 9600
Connection: TX to D3, RX to D2 (can connect directly for testing purpose only )