Isn't it the specially shaped (a bit like the top of a rocket, rather than flat) silver cable end? If so, it goes on the chainstay end of the cable housing Andrew mentioned.
Its exact purpose is unknown, but is probably to amuse Sean.
From the instruction book:
"Please note that thorughout this manual, reference is made that an "accident" could occur. Any accident could result in damage to your bicycle, its components and, more importantly, could casue you or a bystander to sustain severe personal injury or even death." Mmm, when you fit your new cables, make sure that all 'bystanders' are well behind the safety barriers.