Direct connect to the MPW using the My Cloud App. Then in the My Cloud App, when you slide the “MyPassport” (or whatever you renamed the MPW) to the left, a sort of gear will be uncovered to the right. Tap that and you will get into the Settings screen. Scroll down to find the Wi-Fi item. Tap that to set up your connection to your home network.
When the MPW is connected to your home network your iPad/iPhone will be connected to your home network, and hence the internet, via the MPW.
The specific video which explains this is here: https://www.youtube.com/watch?v=euX_mTIUj0I But Matthew doesn’t actually say tap the gear icon to get into settings. I think that video is for an earlier version of the firmware as well, so it is a little different, but not that hard to work out.
That is the same video as the one on your MPW in the “WD Studios Help Videos” folder, which it sounds like you have already found. But it is handy sometimes to use the Youtube version and work through the setup with them on a PC while you are setting up your iDevice.
All the MPW videos are on Youtube in the “WD, a Western Digital company” account, here: https://www.youtube.com/channel/UCwT7y9vAZeU1Mg33CJ38wvQ
There are also some videos that aren’t preloaded onto your MPW, such as “How To Use My Passport Wireless with iOS”, here: https://www.youtube.com/watch?v=Ua6O6DtG5Oo&list=PLwcbXPYucCc0jtWyJtV_Z9cPvPBC5dZt4
