I've just rang the manufacturer Connects2 themselves. They had an 0906 number on their website which is like a quid a minute! But went to
http://www.saynoto0870.com and got the alternative georgraphical number for them, which is 0121 522 5588...
... Anyway, I just spoke to the chap there and asked him what all the wires were. Apparently, some head units require one or the other of the blue/black connectors and some require both, so you just connect the one (or both) that is appropriate for your head unit. In my case (Leon 2004 TDi Cupra), I just need the blue female connector.
The 'earth looking' wires are both earth, but correspond to each of the blue/black connector, but because you can't tell which one is for which connector, the chap said it's no harm to just connect them both to earth (thechassis of the head unit will do).
Finally, the two wires with the red sheetings at the ends (apparently called the 'red bullet connectors'), they just plug into one another. Didn't bother to ask him what they were, just wanted to know what to do with them!
I'll upload a picture later just in case anyone else buys one these things.
This brings me on to my next query:
What happens when I disconnect my head unit? Will I have to enter a code into it once I got it up and running again?