There is probably an icon in the status bar, top right hand corner, near the clock. It'll be be segment of a series of concentric circles, sort of like a sonar wave kinda. One click on that will bring up a menu. Your detected wireless network will be on the list, or click "Other..." as described in the second paragraph of my earlier post.
If it isn't there, click the Apple (top left), then System Preferences. Choose Network. Under Show choose Airport. At the bottom there is a check box with "Show AirPort status in menu bar". Make sure it is ticked.
As you're new to OS X you'll find a lot of stuff is a little bit hidden sometimes. Applications like Mail for example are very feature-rich, but look very simple at first glance. I think it is part of what makes people think the Mac is "easy to use", because a lot of complexity is hidden away. It's not the case with software which is in common with Windows though, like Office - these tend to offer the more traditional millions of buttons and menu items.
From other threads I gather that you use Linux quite a bit, in which case you'll love OS X, because when you want to do something quick and dirty you can download all your favourite open source software, compile it, write a script, pipe it through awk, tail the output, etc. etc. etc.