I. To obtain the matrix form you quote from the infinitesimal transformations you have to:
- Start from the Lorentz transformation as found e.g. in the wikipedia article.
- Write the infinitesimal form of these transformations. E.g. for a boost in the $x^1$ direction you have
$$ \tag{1-1} x'^0 = x^0 + \beta x^1 + \mathcal{O}(\beta^2), $$
$$ \tag{1-2} x'^1 = x^1 + \beta x^0 + \mathcal{O}(\beta^2). $$
This corresponds to the approximation
$$ \tag 2 \Lambda^\mu_{\,\,\nu} \approx \delta^\mu_{\,\,\nu} + \omega^\mu_{\,\,\nu},$$
where we have just used the $\delta$ to indicate the identity component of the transformation, and defined $\omega$ as the linearized part of the transfomation. In the example above we would have:
$$ \tag 3 \omega^0_{\,\,1} = \omega^1_{\,\,0} = \beta, \quad \omega^\mu_{\,\,\nu}=0 \text{ otherwise}. $$
- Imagine the Lorentz transformation $\Lambda$ as composed of an infinite (say $N \gg 1$) succession of infinitesimal transformations of the form (2) with parameter $\omega/N$. Then you have
$$ \tag 4\Lambda = \left( 1 + \omega/N \right)^N \rightarrow e^\omega, \,\, N \to \infty. $$
Finally, exponentiate the $\omega$ you found on step 2 to obtain your result.
II. Note that the formula you quoted in the title (V1),
$$ \tag 5 \Lambda^a_{\,\,b} = \left[ \exp\left(-\frac{i}{2} \omega_{\mu\nu} J^{\mu\nu} \right) \right]^a_{\,\,b}
\approx \delta^a_{\,\,b} - \frac{i}{2} \omega_{\mu\nu} (J^{\mu\nu})^a_{\,\,b}, $$
holds on more general grounds (for a generic, modulo mathematical subtleties, representation of the Lorentz group). To obtain the vector representation you are considering here you have to use the appropriate generators $J^{\mu\nu}$, which are in this case
$$ \tag 6 (J^{\mu\nu})^{\rho\sigma} =
i ( \eta^{\mu\rho} \eta^{\nu\sigma}
- \eta^{\mu\sigma} \eta^{\nu\rho} ). $$
To see that this is consistent with (2) consider the following computation:
$$ \tag 7 \Lambda^\rho_{\,\,\sigma} =
\delta^\rho_{\,\,\sigma}
- \frac{i}{2} \omega_{\mu\nu} (J^{\mu\nu})^\rho_{\,\,\sigma}
= \delta^\rho_{\,\,\sigma}
+ \frac{1}{2} \omega_{\mu\nu} (\eta^{\mu\rho} \delta^\nu_{\,\,\sigma} - \eta^{\mu\sigma} \delta^\nu_{\,\,\rho})
= \delta^\rho_{\,\,\sigma} + \omega^\rho_{\,\,\sigma}, $$
where we have used (6) in (5) to reobtain (2).
See this Phys.SE post for further details on the various representations of the Lorenzt group.