When connected by serial port you can switch to the AT command mode by sending +++. The module sends a character and you should reply with a character to enter AT mode. The module will reply with +ok when it enters the command mode. AT commands should be terminated with \r\n characters (return + newline). When in AT command mode you can use AT+H command to get help / to list all the available commands. You can use AT+Z to reset the module, AT+RELD to restore the default settings and AT+ENTM to return to transparent mode.
AT+: NoNE command, reply "+ok".
AT+ASWD: Set/Query WiFi configuration code.
AT+E: Echo ON/Off, to turn on/off command line echo function.
AT+ENTM: Goto Through MOde.
AT+NETP: Set/Get the Net Protocol Parameters.
AT+MSLP: Set/Query deep sleep mode parameters.
AT+PING: General PING command.
AT+WMODE: Set/Get the WIFI Operation Mode (AP or STA).
AT+WSLK: Get Link Status of the Module (Only for STA Mode).
AT+WSLQ: Get Link Quality of the Module (Only for STA Mode).
AT+WSCAN: Get The AP site Survey (only for STA Mode).
AT+TCPLK: Get The state of TCP link.
AT+TCPTO: Set/Get TCP time out.
AT+TCPDIS: Connect/Dis-connect the TCP Client link
AT+RECV: Recv data from WIFI
AT+SEND: Send data to WIFI
AT+WEBU: Set/Get the Login Parameters of WEB page.
AT+WEBVER: Get WEB version.
AT+WSDNS: Set/Get the DNS Server address.
AT+WADMN: Set/Get the domain name of WEB page.
AT+WEBSWITCH: Set/Get the parameters of WEB page.
AT+PLANG: Set/Get the language of WEB page.
AT+UPURL: Set/Get the path of remote upgrade.
AT+UPFILE: Set/Get the file name of config file for remote upgrade.
AT+UPST: Start the remote upgrade.
AT+UPWEB: Start the remote upgrade webpages.
AT+UPCFG: Start the remote upgrade default setting.
AT+UPAUTO: Start the remote upgrade by config file.
AT+LOGSW: Enable/Disable upload logs.
AT+LOGPORT: Set/Get the UDP port for upload logs.
AT+SOCKB: Set/Get Parameters of socket_b.
AT+TCPLKB: Get The state of TCP_B link.
AT+TCPTOB: Set/Get TCP_B time out.
AT+TCPDISB: Connect/Dis-connect the TCP_B Client link.
AT+RCVB: Recv data from socket_b
AT+SNDB: Send data to socket_b
AT+RELD: Reload the default setting and reboot.
AT+SLPEN: Put on/off the GPIO7.
AT+RLDEN: Put on/off the GPIO45.
AT+Z: Reset the Module.
AT+MID: Get The Module ID.
AT+VER: Get application version.
AT+WANN: Set/Get The WAN setting if in STA mode.
AT+LANN: Set/Get The LAN setting if in ADHOC mode.
AT+UART: Set/Get the UART0/UART1 Parameters.
AT+WSSSID: Set/Get the AP's SSID of WIFI STA Mode.
AT+WAP: Set/Get the AP parameters.
AT+WSKEY: Set/Get the Security Parameters of WIFI STA Mode.
AT+WAKEY: Set/Get the Security Parameters of WIFI AP Mode.
AT+NDBGL:set/get debug level
AT+WPSBTNEN:enable/disable wps button
AT+WALKIND:enable/disable LED indication of AP connection
AT+WADHCP:enable/disable AP dhcp server and set ip address pool
AT+MDCH: Put on/off automatic switching WIFI mode.
When you only need the module to replace the legacy serial port with wifi-capable connection the transparent mode of the serial port is really a nice feature and simplifies the software development quite a bit. For more involved communication with the internet or other devices and using multiple connections the AT command set should be used.
Maybe I will do a more detailed writeup on configuration of the module and the AT commands to communicate with outer world in the future.
In meantime you can check this link on connecting the module to arduino and basic communication.