The thinner hose connects to the crankcase breather on the back of the cam cover underneath/behind the standard airbox and the other end connects into the hole in the underside of the cone filter. If you've still got the standard airbox on you probably can't see where it needs to go.
It's easiest to just take the standard stuff off first, then it's pretty easy to see what you need to do, you'll remove a lot of OEM stuff and replace with just a few parts.
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2005 Fiesta ST - wrote off
Newman fast road cams, Fusion Fabrications custom inlet manifold, custom exhaust