Make sure to get the El Capitan version of it. The download of that one that I've seen is a .pkg file, which is an installer. You just run it and accept all the defaults. I think it will make you reboot at the end.
After the reboot, when you log in (assuming you have the USB device plugged in), you'll probably get a Wireless app that comes up. One of the tabs lists available wireless networks, and if you pick one it'll prompt you for the security key and stuff.
I never had any luck getting the menu bar icon to do anything, but that wireless app works OK and seems to stay open in your taskbar even if you close the window. If you manage to fully quit the app you can start it again from /Applications if you need it.
It seems to take a few seconds after you log in to make the wireless connection, but after that it seems to work fine. I'm using a NUC5i3MYHE with an AC600 to watch Netflix in the browser and it works.