The picture shows all the pieces that need to be placed between the load cell and the crosshead.

Tighten the screw, the load cell should not move at all once on the crosshead.

Make sure the connection cable is properly attached to both load cell and the frame.

Finally attach the pull rods under the load cell. Make sure that ALL the tightening nuts (red arrow) are as tight as possible. If one of them is moving, it will produce a plateau on the measured stress-strain curve and introduce a large error in the measurement.