You would attach the lanyard to your belt, behind your holster, as shown in the picture. IMHO this is really more of a military or outdoorsman type accessory, where if you drop and lose your gun you aren't going to have the opportunity to withdraw from your environment (battlefield, backwoods, etc) or replace the firearm quickly.
I don't make jokes, I just watch the government and report the facts. -Will Rogers
An appeaser is one who feeds a crocodile, hoping it will eat him last. -Winston Churchill