The connector in the picture has a protective plastic cover. Just push the clip on the side and it should just slide of. Today I've also fitted fog lights on my focus mk2.5. Same wiring as shown in your picture. I've connected everything but they are not working
Did you order the kit from a ford dealer? I think mine have bulbs but if not that would explain why they don't work . Did they work for you first try? Mine are branded "Valeo"
Did you already fit them? Do they work?