This is the first time I have to replace a chain. I don't want to **** it up so I decided to ask you guys. I bought a KMC chain today and in a little plastic pouch came an outer plate with two pins already in, another outer plate that will probably cover the other side, and finally a thin plate that has an opening on one side (lengthwise) that looks like a "U". How am I supposed to put this altogether and where does it go in the whole chain? From looking online it's called a "masterlink".

Also I assume that I need to remove a group of links before I add this stuff that came in the bag?

Any help is appreciated.