The directions that came with it are sketchy at best. Could someone please describe to me where this actually is going on my car?

Thanks.

Now back to election coverage.

Umm more 411 needed.

Looks like somewhere under the throttle body. It protects the throttle body from heat.

From PFYC,

"Because space is limited in the engine bay, the exhaust crossover pipe runs right underneath the throttle body and intake tubing. The MAP Engineering Exhaust Heat Shield, which is made of 22 gauge bright annealed T-304 stainless steel, bolts on right below the throttle body, protecting it from the harmful radiant heat. As an added bonus, the shield allows air from the radiator fan (and pass through air) to flow between the exhaust pipe and shield, dramatically increasing its effectiveness and lowering underhood temperatures."

Hello,

The heat shield is attached using the two bottom nuts that hold the Throttle body.
Take the nuts off, and slide the shield over the studs. Re-attach the nuts. Just a bit past snug. I would suggest pulling the TB, and replacing the gasket. I've heard of the gaskets leaking, and causing coolant to enter the intake. There will be a small amount of coolant to deal with doing this, but no biggie.
Just make sure the car is cool, whether you change the gasket or not.

Later now,
Clint