If you have the kit from Sealand or Bluerolls, or if you have bought a Duet 2 WiFi on the internet in China, most probably you received a board with no SD card. So here is how I manage to get everything working. Thanks again for all the internet community for sharing all the information.
At first, you need to configuration a few things on the board. There is a really good tutorial on the Duet3d website that can be found here. If you do not need a fix IP address, you can stop at step 10. This description is for Windows user. If you ave a Linux machine, here is a nice tutorial on how to do it on Linux here. It simply use the arduino IDE to connect, fairly straight Forward.
Format a SD card in FAT or exFat depending on the size of your card. Take the zip file from Ben Levi (here) and unzip the all thing on your freshly formatted SD card.
You can now disconnect your USB, get the power supply connected and running and before you switch on, put your SD card in the board slot. It should be booting nicely and you should be able to access the web interface at the same IP address as before.
Theoretically, at that point everything should be running fine and you could use the system as it is.
Updating the firmware to 3.x is a bit tricky. First of all, make a BACKUP ! You need to get to 3.0 and then you can update to 3.x. To do that you will need to download the zip file containing the 3.0 release here. Unzip the data and you should get a lot of goodies. You will need Duet2CombinedFirmware.bin, Duet2CombinedIAP.bin and the DuetWifiServer.bin. Put these 3 files in your sys directory on the SD Card.
After Rebooting with the SD Card in your board, you should get the web interface. You can run the M997 S1 to update the Webinterface and M997 S0 for the firmware. If everything goes to plan, you should have the new 3.0 web interface and the firmware should also be upgraded.
If for some reason, the system is telling you some interesting web access denied, this means that the HTML code on the SD card is not matching the web server. No big deal ! You can go the the configurator. You can use your current configuration ( you will need to have the Jason file from your SD card on your PC) and on the next screen to select the firmware 3.0 or higher. Just click to the end without doing anything and it will give you on the last screen the opportunity to download the zip file with the config. This is the updated config for 3.0 !
Do not forget to click on the top the Firmware 3.x and the duet web control 3.x. The firmware is to be put in the sys file. The Web control is a zip file. the zip file contains the web directory and the web server bin. The great thing with the 3.0 interface is that you can simply upload directly everything on your machine, perform the M997 upgrade and upload your new config.
Voila ! Duet is running and you should have the latest firmware !