You can get on the subway at the Times Square Station (at 42nd Street and 7th Avenue), and take the S shuttle train (color grey) east across 42nd Street, from Times Square (West 42nd) to Grand Central Station (East 42nd).
At Grand Central, get the Uptown 4 train (of the 4-5-6, the dark green line), and take the Uptown 4from 42nd Street-Grand Central Station to 161st Street-Yankee Stadium.
Or, if you're a little further uptown and you don't want to walk to 42nd Street, you can take the Uptown N-R-Q-W (the yellow line) from 49th Street (at 7th Avenue) to 59th Street. Transfer at 59th Street to the Uptown 4.
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