You can provide power to the BBC micro:bit two ways - through the USB cable or via battery. The main way to program the BBC micro:bit is through the USB cable. However, once you've uploaded your program, you can use battery power to make your project mobile.
Here's where you connect the battery pack:
This little plastic connector is called a JST PH connector. The battery pack that comes with the Go Bundle has the correct part to plug in there. The battery packs that Adafruit sell also come with the correct connector. Just plug and go.
Here's a matching cable
Powering via battery is a little different than powering via USB. The on board voltage regulator is bypassed, so you need to pick your battery supply carefully. See here for some guidance:
(thanks David Hamilton from Scotland for pointing this out!)