The pieces arrowed are the bits the milling cutter/end mill screw into and is the driver.
If you unscrew the large knurled nut from the main body (big nut on the left end of the body in the picture), and look inside the body, you should see a pointy bit facing you, this is the location for centre you will find on the end of the slot drill/end mill.
At each side of the pointy bit there should be a recess, this is where the drivers (arrowed bits) fit.
The drivers have different size threads to suit the differing sized cutters and are paired with the collets shown in the pictures, the collets will be metric or imperial, usually 1/4", 3/8" and 1/2" bore.
Anything you need to know let me know 
