From the following link (no pun intended):
http://www.parktool.com/repair/readhowto.asp?id=25

"Master-Links in Derailleur Chains

Some chain manufacturers offer a "master-link" to join the chain. Be sure to read the manufacturers directions. Typically, the bicycle chain ends must have inner plates on each end. In other words, neither chain end has an outer plate with a rivet. The link comes in two pieces.

Install one piece through inside face of chain, and install second piece through outside of the other chain end. Engage the two pieces so link rivet mates to link plate hole. Pull chain to lock the link. The best method to do this is to move master link to top section between rear cogs and front chainrings and press hard on pedals. This insures the link is fully locked. Inspect link before riding the chain."