Thanks for posting that Sara!
I scanned in the directions I got with mine...
This side basically tells you about it, and it shows you where all the parts are.
This one shows all the different positions.
I would start off with the first one and slowly progress your way up to the desired head set and collection.
When I first got Vega used to it, I had her in her stall and just let her get used to everything on her (especially the bum strap) After that, when I had her out to lunge her with it, I walked next to her (that way in case something happened, i'd be right there) And then I asked her to go out and lunge. I would also suggest not having your lunge line attached to the bit because they already have stuff connected, that I feel there is no need to add more.
Just remember to progress slowly and not to do it for too long because it is working all of their muscles. EDIT
If you want me to, I can send those to you so you can print them out and everything.