The orange lead to pin P9.40, which is also analog input 1 (AIN1). Note that only certain pins can be used as analog inputs (see http://learn.adafruit.com/setting-up-io-python-library-on-beaglebone-black/adc)
Connect the blue lead from pin 34 of P9 to the bottom of the resistor and the red lead from pin 32 of P9 to the top connection of the photoresistor.
The pins are numbered left to right, 1, 2 then on the next row down 3,4 etc. You can find out about all the pins available on the P8 and P9 connecters down each side of the BBB here: http://stuffwemade.net/hwio/beaglebone-pin-reference/