Advice on wiring power supply to digital temperature controller
You would want to wire it just like the picture shows...



..where...

The Black wire is N or Neutral

The Red wire is L or Live

Notes:


You use a short jumper to to connect the red wire from the power input terminal to the load terminal. This is the same electrically, just maybe easier to connect...





You could switch the red and black wires and everything would work, but typically you want to disconnect the live (red) line when turning off the load so that there is no high voltage getting to the load when the switch is off. This is for safety. If you turned off the black wire, there would still be high voltage AC going to the load on the red wire, but the load would not turn on because there was no circuit. 
There is no connection to the green (earth) wire on your controller, but you should connect the green wire from the plug to the green wire on the load, again for safety. That would look like this...