it goes between + and gnd. observe polarity: longer lead is +.

Sometimes they have a rubber insulator on the + end of the cap as well.

Sorry to bring this thread back from the dead but...

Everytime I apply power to the car, the end of the capacitor blows off and it smokes like a bitch. This is the second Cap and I made sure both times that the polarity was correct. This is with the single 10000. did I miss something or should I opt for a different setup?

The polarity isn't correct.

Check the cap's voltage too - should be minimum 35v.

Fixed the cap issue. Now I don't think I'm getting signal from the MS. I have 12v and ground at all 4 connectors. Signal wires are direct to the harness of the DIYbob.