LEDs on Arduino WiFi Shield
The web page on the Arduino site for the board tells you in plain words what they mean:


  On board indicators The shield contains a number of informational LEDs:
  
  
  L9 (yellow) : this is tied to digital pin 9
  LINK (green) : indicates a connection to a network
  ERROR (red) : indicates when there is a communication error
  DATA (blue) : indicates data being transmitted/received