Are you refering to the "sandwich" oil cooler there? If so one line goes to the hard line running up behind the turbo to the water neck. The other one goes to the large front water pipe. Its all connected with 2 short rubber lines, so position so it can all hook up. Be very careful not to overtighten that stud that holds it in. Its VERY easy to crush that POS, which will cause oil and coolant to mix. I usually refer to it as the oil mixer more often than an oil cooler.
I believe the spec is 20 ftlbs. See the vfaqs, someone did a write up on a washer that fits behind it so you cant crush it. Also be aware that if that comes loose, you can lose a motor, or at least induce crankwalk. Dont ask how I know
Hope that helps.