I assume it came with instructions, or else do a search for a diagram. The capicitor may or may not be needed, depending on the load, and it would go on the same 2 wires in the electrical box with the load.
Well then the device has a line and a load, and I explained the cap.
Perhaps this would be good advice for you as well…
Disclaimer
DANGER OF ELECTROCUTION
If your device connects to mains electricity (AC power) there is danger of electrocution if not installed properly. If you don’t know how to install it, please call an electrician.
Beware: certain countries prohibit installation without a licensed electrician present
Remember: SAFETY FIRST. It is not worth the risk to yourself, your family and your home if you don’t know exactly what you are doing. Never tinker or try to flash a device using the serial programming interface while it is connected to MAINS ELECTRICITY (AC power).