How can i connect my led

That’s not a WiFi shield. It’s a board with an Arduino UNO footprint that has an ESP8266 module on it rather than an Amtel 328. It’s a clone of the Wemos D1 R1 board.
It’s designed that way so that it can take standard Arduino shields, but it is not a shield itself.

The board is much more powerful than an Arduino UNO and can be programmed directly from the Arduino IDE, once you’ve installed the ESP Core, by choosing the board type of D1 R1.
The disadvantage of this type of board is its size and its cost. It’s just far bigger than it needs to be and costs around 3 times more than a Wemos D1 Mini.

If you want more info about the best choice of board then read this (and be clear that the Wemos D1 R1 is NOT the same as the Wemos D1 Mini/Pro)…

Pete.