I'm an Intel employee. I'm not on the NUC team but I have the same NUC so maybe I can help. I'm guessing you have the 7260 wifi card because the 6235 card works in Windows and Linux without loading extra drivers.
For Windows once you've downloaded the drivers you need to run the setup.exe file located in the driver folder. It will walk you through installation.
For Linux the best (and easiest) solution I've found is here: http://wireless.kernel.org/en/users/Drivers/iwlwifi
Basically you just need to copy a few files to a specific directory in your Linux installation, run a command, and reboot. It's easy and it works great.
Let me know if this helps.
The bundle didn't provide a set up wizard. I downloaded a single driver,
LAN : Intel® Gigabit Ethernet Controller Windows 8 driver for Intel® NUC which installs the LAN driver.
When I opened the file in the NUC the set up wizard popped up. Installation was successful. I am now on line.
Question #1 & # 2 solved.