I'd nip in to your local physio department (or make an appointment) and ask them for precise instructions. It's basically worn very low around your hips. I found it bloody uncomfortable and gave it up. (By the way your physio department will lend you these belts free of charge if you are pregnant.)
If it's just a big wide belt - put it so that around your back it's in the small of your back level with your waist, but as it comes to your side/hips it slopes down so that by the time it's at your pubic bone it's under your bump.
Hope that makes sense! I found the belt fantastic when pg with ds2 - I was in so much agony I couldn't walk anywhere without crying but it really helped in the later weeks.