This is a filament guide for the Creality CR-10 Printer.
Basically it will prevent your filament to touch the (greasy) Z-Axis lead screw.
There are 2 versions, one has clip where you can attach the wires from the hotend, the other doesn't.
To install the guide, you just have to clip it in place. If it does not fit, it means that you are the unlucky owner of a printer where the hole for the Z-Axis lead screw was not drilled at the right place (it seems to happen sometimes).
To use the guide, insert the filament in the axis of the extruder hole, as you would normally do, and once it is in place, put it in the hook of the guide.