Hi @mkmaxchc welcome to the community!
I am happy that you can make use of the platform!
The Yun needs a network with a dhcp service that provides it with an IP Address.
When you connect the YUN via Ethernet directly to your computer this service is not present, therefore the YUN and your computer just have a random network configuration.
Result is that you can not find the YUN.
You can try to share internet connectivity with the Ethernet Port, on some computer systems this starts a dhcp service.
Or you connect the YUN via Ethernet to a router. The router would have such a service by default.