The big blue connector plugs into the headlight bulb connector, and the 2 smaller ones go to the marker lamp sockets, which then lock into the housing, sealing it.

With separate High & Low bulbs, the lows CAN be wired to stay on with the highs. A simple jumper across the dimmer switch (from input to low) will do that.
Low Beam - H7
Hi Beam - H1

See also:

Owner caption May 2012 · Photo 4397 of 5000