base of the socket, it screws onto the rod before you put together the socket.
take your new socket, remove the outer brass looking cover, then remove the cardboard cover. you will see two screws, unscrew them both. take each side of the copper wire and twist it together with your fingers. wrap the wire around the screw on the side of the socket without leaving any wire showing, then tighten the screw. do this to the other screw and wire. again, making sure there are no copper wires showing and the screws are tightened.
now, replace the cardboard cover, the brass cover, attach this to the top of the lamp, by 