First, insert the top of the bulb with the soft cap into the opening on the top of the device:
Then, insert the prongs on the bottom of the bulb into the socket below. Make sure they are oriented correctly so the bulb can be fully inserted into its socket:
You should be able to tell if a bulb is full seated by how far it is pushed into the socket. Newer models have a black marker indicating when the bulb is correctly seated: