Replacing two-plug outlet with one plug + one guidelight
The old receptacle connected the wires together internally, so you'll have to do it external to the device now.

Using a twist-on wire connector (or similar), connect both the whites together with a short piece of scrap wire of the same color and size. Then connect the other end of the scrap piece of wire, to the silver "neutral" terminal on the new device.  

This is known as a "pigtail", and is a common method for joining multiple wires to a single terminal.

Do the same with the black ("hot") wires, connecting the pigtail to the brass colored screw terminal on the device.

Finally follow the same procedure with the grounding conductors, attaching the pigtail to the green screw terminal.