Hi CrossoverManiac,
The Raspberry Pi doesn't have a WiFi light. The only lights are a red "power" light (which can be surpressed via software) and a yellow/green "activity" light (blinks when the Pi is reading/writing data to the microSD card) and there are also lights on the physical ethernet port (to indicate if there is a link or activity ... but these lights would only be lit if you were using a physical ethernet cable to connect to the Pi).
The only way to know if the WiFi is working is to scan the list of available WiFi networks (via your phone, tablet, or a computer) to see if you can find a network being advertised that starts with "ASIAIR..." in the name.
I've made his mistake many times myself... power up the ASIair, launch the software and ... nothing. But that's because I forgot to tell my iPad to switch to the ASIair's WiFi network. Make sure you find and join that WiFi network, then launch the ASIair app.
Clear Skies,
Tim