the fuse goes into the fuse holder which is a plastic cover thing. The ANL fuse goes close to the battery. it should be within 6-15" of the battery, and you cut the power wire into 2, hook one side of the power wire into the fuse, and the otehr side of the power wire into the other side of the fuse
it really varies though. cuz you will see some 4 awg kits come with a 60a fuse, and then some with 150a fuse. i wouldn't go over 125 though. at least thats about what bcae1 says on fuses. 100a fuse will do you fine
im not sure what the REAL BIG difference between them is, but there really isnt a big diff. ANL fuses have these lil hooks on the end, while AGU is like a glass tube. both are very very common in car audio applications, but i belive ANL fuses can handle a lil more current, which is why you see a ANL fuse in boats and such which are pulling like 250a...