Figured it out (Canon, the manual SUCKS on this point)
If you are on a Mac, and you install all the Canon software, the WFT Pairing Software will not be put on your dock with all the other Canon software, you have to find it on your computer. (Applications/Canon Utilities/EOS Utility/WFTPairing).
Once you find the WFTPairing software, double click on it. (This is what got me confused and frustrated) Nothing will seem to happen and there is no icon on the dock to suggest you are running an application or that anything has happened. What has in fact happened, is that you have launched a utility that now allows your computer to pair with the camera. The only indication that this as happened is a small brown icon of a camera that will show up in the upper right corner of your screen (by the time, Date and Wi-Fi icon if your have them showing).
When that icon shows up, you can click on it, and it is from there, you can select your camera.
I will tell you, having the camera tethered to the computer wirelessly...priceless. Now, if I can just get it to connect to Lightroom for wireless importing, I will be thrilled.