As OFD said, you currently cannot listen outside your own wi-fi network.
Having said that, let me explain the two options.
Infrastructure is used when you want to connect your scanner to an existing wi-fi network. If you have at-home wi-fi, this is what you want to use to put it on that network. You need to know the network name, and it must be using WPA2 encryption/authentication (and you must know the passphrase). Once you choose Infrastructure from the menu on the scanner, it will search for your wi-fi network, and then once you enter it, it will ask you for the password. Once that is successful, you
should be able to let it go and never have to update it again. (The only time I had to reset it on mine was when I completely wiped the 536 after a power failure.)
Access Point mode is for when there is no wi-fi network handy - for example, if you're installing the radio in a car. This is also known as
ad hoc networking in some cases. I haven't ever configured my 536 to use this mode, but according to
the Easier to Read 536 Manual, it will prompt you for a SSID (the name you want to call the connection) and an encryption type and passphrase. (The manual says you can use WEP, WPA, or WPA2, but I've heard on the forum that WEP will not work at all.) At that point, you would connect your mobile device to the wi-fi network your scanner has created (look for a network named as per the SSID you entered into the scanner).
After both of these, you will have to provide to whatever device you're connecting to the scanner with (computer, smartphone, tablet, etc) the IP Address of the scanner. This will be visible on the "Show Wi-Fi Information" screen available in the menu of the scanner.
The reason we can't do what you want (connecting outside your network) yet - at least
my guess at it - is that Uniden is still working on getting the audio data to pass through the 'firewall'. Most home (and other) local area networks, if they're being run properly, have either software or hardware that prevents Internet traffic from being transmitted or received except on pathways you explicitly allow. Streaming audio, at least in terms of the scanner and the remote app, is proving to be a tricky thing to sort out.