Mat,

The plug allows you to join the 3 wires on your lambda sensor to the 3 wires i'm about to talk you through. It basically allows you to crimp the wires together rather than soldering so as not to interfere with the voltage readings.

The yellow bits in there are moisture seals. The long grey bits have two bits that unscrew.

Feed your wire through the black plastic casing, then put a moisture seal on, then unscrew one side of the grey barrel and slide that on. Strip a bit of the wire back so there is a bare end, then tuck that in to make contact with the metal bit of the main section of the barrel. Screw together to form a tight joint. Repeat on the other side making sure you keep the black wire in the right place. The white wires don't have a polarity.

One of the white wires needs to go to a switched ignition power source such as the ECU relay.

The other white wire needs to go to a good clean ground.

The black wire needs to go to Pin 2 of the ECU connector. (I say Pin 2 purely from memory - please check to confirm!)

The two white wires form a heater circuit and the black provides the switching voltage signal into the ECU.

Hope that helps