The Arduino Yun is a microcontroller board that can be used to send SMS and MMS messages using Python and the Twilio API. To get started, users need to install pip, the Twilio Python helper library, and set up their environment to use the SD card for package installation. The tutorial covers how to write a simple Python script to send an SMS and modify it to accept a message body from the command line parameter. Additionally, the tutorial explains how to send MMS messages using the same method, but with an additional `media_url` parameter to specify the location of the image being sent. Finally, users can use the Arduino IDE to create an sketch that runs their Python script, allowing them to integrate hardware and software hacking capabilities.