Don't feel bad--when I took ours out of the package, I kinda went, "What the ****?" We bought one a few months back for our baby. The directions said to put it inside the crib. Weave the bumper through the corner posts on your crib to keep it up in the corners. Loop the velcro around a bar at either end. For the sliding side, just loop the velcro around the bars at either end. Additionally, I wove the long side through the middle bar on my crib because it kept flopping down.
I saw that one Mom found a pic of one that wasn't woven--that looks pretty dangerous to me as baby could get tangled in it!
Good luck with new baby!
:)