Hi Matty, I recently retro fitted a RNS-E unit to my A3 S-Line 2009. That 'yellow' connector is the diversity connection. Although I did not have this in mine in the same set up as you (because I had the Audi Concert head unit) I am able to help you out somewhat.
Using a small thin flathead screwdriver, or something similar, pry out the purple plastic lock from the yellow diversity connection.
Once the purple lock has been removed, the yellow plastic cover will slide right off. Remove it.
The kit you will need to order should included the Radio Antenna Adapter. This cable is needed in order to connect the FM antennae to the back of the RNS-E unit. I should look like the following: (found this pic on the internet btw)
Once you have removed the yellow plastic cover from the connector, it should clip onto the "Symphony-ZF Diversity ant." - as it is labelled on the picture above. I recommend using some electrical tape or something similar to hold it in place securely.
In case you are wondering what a diversity antennae is, it is also known as space diversity, is any one of several wireless diversity schemes that uses two or more antennas to improve the quality and reliability of a wireless link - in this case, your radio!
I hope this is of some use to you?
Good luck with the install, let me know if I can help any further!