We use different u-pins for different purposes, and there are quite a few of them in your machine and its accessories. Below are some of the more common u-pins that you may have to interact with whilst using your machine.
This comes with a u-pin to attach the end piece. If the u-pin is not attached, there is a risk that the end piece may damage something/someone if it pops off when water and pressure come on.
Feel free to use a hammer (carefully) to tap in the u-pin.
Remember to always start by spraying in a safe direction when you start/have changed nozzles or accessories.
With the Telescopic Lance, a U-pin is included, which will attach the internal hose:
Place it in the groove as shown in picture two above, and tap it in lightly with a hammer or something similar.
When setting up the Evolution, a U-pin is included to secure the hose in the drum.
It is attached like this: