The first thing you should do is read through the datasheets. All of it.http://rovingnetworks.com/resources/show/product:1
As a beginner it'll all sound overwhelming and mumbo-jumbo-ish, but it'll start to make sense over time.
First, you'll see it says:
Accepts 3.3VDC regulated power supply
Which means you can power it using the 3.3V Axon output pin. And ground to ground, of course. The Axon 3.3V output can handle up to ~73mA - but no more!!!
Then look at the pinout in the datasheet and find Tx and Rx. Connect that to your Axon Rx and Tx.
Tx goes to Rx, and Rx goes to Tx.
In WebbotLib Project Designer, set up a project that uses the UART you want to connect to the wifly module.
Then re-read through the user manual again to learn the commands you must send by UART:http://rovingnetworks.com/resources/download/93/WiFly_User_Manual
Also, you can use Hyperterminal to test out your wifly commands without the Axon.
When you get stuck again, let us know