The Arduino Leonardo is a microcontroller board based on the ATmega32u4 (datasheet). It has 20 digital input/output pins (of which 7 can be used as PWM outputs and 12 as analog inputs), a 16 MHz crystal oscillator, a micro USB connection, a power jack, an ICSP header, and a reset button. It contains everything needed to support the microcontroller; simply connect it to a computer with a USB cable or power it with a AC-to-DC adapter or battery to get started.
The Leonardo differs from all preceding boards in that the ATmega32u4 has built-in USB communication, eliminating the need for a secondary processor. This allows the Leonardo to appear to a connected computer as a mouse and keyboard, in addition to a virtual (CDC) serial / COM port. It also has other implications for the behavior of the board; these are detailed on the getting started page.
You can find in the Getting Started section all the information you need to configure your board, use the Arduino Software (IDE), and start tinker with coding and electronics. Full details and examples on how to use the WiFi interface are available in the WiFi101 Library reference page.