I'm 99% sure its off your power steering pump.
It will work fine without it though (i've done around 5000 miles without mine connected), I snapped the piece it attatches to when I was putting tension on the power steering belt
I think it is supposed to increase the revs (or something) when you are turning at low speeds, to avoid stalling.
Although I could be completely wrong
Look up in the air (from underneath) at the power steering pump. You should see a little nipple type thing that it attatches to.
When I did mine I coukd see a big nipple type thing. But that turned out to be Monty.
Infact i'm 100% sure thats what it is.
If it isn't, i'll eat my exhaust
Looks nice and tidy under there by the way

4+ hours stuck in a damp bucket seat with a mad Irishman at the wheel - Deep joy!!!!