HTC HD2 sandisk adaptor

Okay, you have 3 pieces:
Really small piece - microSD Big piece - SD Card
Forget that black mid-sized piece, you won't be needing it. 
The very small microSD card should be inserted into the phone (in the battery area in back).
That is what you will need it for, just in the phone. But if you want to ever take it out of the phone, you slide it, face up, and it fits one way only, into the large SD card with the red and blue Sandisk label. You would do this because a computer or laptop would never have a way to read the small microSD card we put in the phone, so we put it in the larger carrier and use an SD Card to access the memory card in our computers if we need to. 
Basically for me, my microSD card is in my phone 24/7. It stores all my files documents music etc in my phone. I have the 2 larger pieces but never use them, just install it in your phone, and carefully, you need it.