When you've got the board made up to the level required to make a first sign-of-life test of the ESP8266...
Select the board type as a Generic ESP8266 Module.
Plug in your board - be sure you have jumper JP1 configured for USB Bus Power (see photo below).
You should see a new COM Port listed (in the 'Tools' tab) when the device is connected. Select this Port and ensure that you have selected the correct Reset method as described on this page.
Now compile and upload the sketch...
If you are used to working with an Arduino UNO (or similar) the ESP8266 upload takes rather longer - so be patient!
The ESP-12_Blink sketch flashes the blue LED on the corner of the ESP-12 module, near the antenna. If all is working correctly, you'll see this light flashing once ever 2 seconds and, since GPIO2 is connected to header pin D6 (see the Board Pinout on the Hardware Page), the voltage on D6 will change as the LED flashes.