As mentioned, the Arduino Yun board both contains a more or less standard Arduino Uno, together with a small Linux computer. The linux computer is the one handling the wifi connection, and you are able to connect to this part of the Yun directly from e.g. Windows using “WinSCP“. If you do not have WinSCP download it using the link provided and install it.
With the Yun running and your computer connected to it from Windows, you should be able to send files to it using WinSCP. Start up WinSCP and in the windows that popups up fill in the following data (assuming that you have a standard configures Yun the username is “root” and password is “arduino”). Remember to change the “File protocol” to “SCP” and not the default “SFTP”
With this information entered you press “Login” that WinSCP will connect to your Yun, and provide you with the following window.
WinSCP is a form of file manager that allows you to send files to your Yun. In the left panel you see files that are on your computer and the right panel shows the files on your Yun. As default WinSCP will go to your user folder on the Yun, so that would be folder where you would normally be sending files and working with them.
If you want to send a file from your PC to the Yun, you simply drag-an-drop like you normally do in Windows.