They have an Anode pin which goes to +ve and Cathode pin which goes to -ve, make sure they are the correct way round otherwise they will not light up. One of the pins is thicker near where it enters the led body, I think this is the cathode, but check to be sure.
The current capability of your power supply, each LED uses a certain amount of current, when all added together the total should be less than your power supply can give otherwise you will not get full brightness.