How can I connect this LED
Quite simply it is backwards from how standard LEDs are configured.

Usually the long leg is the anode and the leg that connects to the bigger metal object inside the plastic case is the cathode, but that is not always the case.

For example:

You'll have to trust me that the leg with the resistor soldered to it was shorter than the other one, but the LED only illuminates when the longer lead is connected to battery negative.