How to use the Osepp proximity module with arduino uno
How should I connect it to the Arduino


Refer to the schematic in the page you link to. That shows you which pin is which.  It's I2C, so there's just 2 data pins, power, and ground.


  and what library do I use?


The Osepp board is a GP2Y0D805Z0F connected to a PCA9534 IO expander. There is a library here.