The bottom box acts as a reservoir for the liquid that is produced and the last lid fits on the top.
The next stage is to drill holes for air, but I have not decided where to put them yet! Some people put a tap in the bottom to drain the liquid, but I chose not to. It's easy enough to check it regularly and tip it out.
I would definitely recommend that you research how to keep the worms. It is relatively easy, but there are differing opinions on the best way. I'll leave that up to you!