Step 6: Header Pins & Finish!
There are the jumper pins you need to put on. (See image) Just stick them in with the longer pins up. And solder as usual.
You should solder on the other header pins if you want to use them for something. The 3 you'll need for power are optional, it really depends where you want to put these things. The long header pin array is for controlling the music (stop, volume up, etc.). All that stuff is clearly explained in the manual.
To test it out connect the ground (BLACK) to the GND terminal, and the RED to the +5. The LED's will go on.