> Can anyone tell me how to connect this thing
> to clock the PIC (I've never used a crystal before, as is probably plainly
> obvious)?

You could have saved some big money ;>) and just bought a 4 MHZ crystal instead
of a clock oscillator. Then you would have a 2 lead metal can that connects to
the OSC1 and OSC2 pins.

Since you have a 4 pin clock oscillator connect +5 volts to the upper left pin
(looking at the can from the top side so you can read the writing on it.)
Connect ground to the lower right pin. Connect the 4 MHZ square wave coming out
of the upper right pin to the OSC1 pin. That should do it. The lower left pin
with may have a black dot next to it and is not used.