Step 1: Get the Arduino Yun on Your Network
If you are using wifi it gets a little more difficult.
By pressing and holding the wifi reset button on the board for 3 seconds the board will be set up as a device that your computer will be able to connect to.
Once connected point your browser to arduino.local.
Here you can configure your device to your network settings
Step 2: Uploading the "Bridge" Example to the Board
Make sure it is the latest version that supports Yun found here
In the menu go to Tools->Ports->Your Yun
Next go to File->Examples->Bridge->Bridge
Upload the sketch
Step 3: Connecting Yun to Yun Buddy
Enter the name of your device that you set when configuring the Yun
The default name is "arduino"
You can also use the IP address of the Yun.