To connect to a hidden Wi-Fi network you must know its name and password.
First go to All Settings -> tap Network & Wireless -> and tap Wi-Fi.
And now tap on Manage.
On the bottom menu, tap add / plus( + ) icon.
The Add Network wizard is opened. Write the name (SSID) of the hidden network and tap add. ( in my case the SSID name is ‘.’ .)
Now you have to enter the password for the hidden network.
If you entered correct network name & password, it should taken back to the Wi-Fi screen.
Here you can see that my windows phone is connected to my hidden network.