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Plug the connector into the Arduino (pins 8, 9 and 10)
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Snap the alligator clips onto the plates (8:x:left, 9:y:bottom, 10:z:right)
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Provide power by plugging the fourth wire (my red wire) into the Arduino's 5 V
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Plug in the Arduino, start up the Arduino environment
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Upload the code to the board (note: if you are outside North America, you will probably need to change #define mains to 50 instead of 60).
The Arduino code is attached as Interface3D.ino and the Processing code is attached as TicTacToe3D.zip