Doesn't sit anywhere. It's a unit that you plug in to the OBD port. Basically means you can alter between stock, settings A, B, C and valet mode. ABC are settings you can choose and you need to connect to a computer to read/write settings to the device.
You can then use the box, plug it into the port and change the settings. Can't be done on the fly - you have to stop the car and turn off the ignition (and back on) to do it.
In all honesty, the only times I've used are after I've disconnected the battery for too long which wipes the settings.