Without the exact model number of the switch, it's hard to say.
But, at first glance, the indicator is called out in the specification as X1 and X2. In your picture, I can see X's marked on the switch housing, with screws directly below - right in the center. (Disclaimer! I'm assuming you bought a switch with a 120 volt indicator. If you do this with a lamp rated for 24v or anything other than 120v, you'll smoke your light and possibly the switch)
You would do the following:
Run another wire from the load side of the green contact block to the indicator connection (X1 or X2) so that power is applied to that post when the switch is "ON". This way the indicator is wired in parallel to the load. If you wire the indicator in series to the load, your whole load will pass through the indicator (Not good)
Connect the other "X" connector back to your neutral block to complete the circuit.
This way, when the switch is "ON", power is applied to your load, as well as the indicator built into the switch.
I can give much better advice if I know the actual part number of the switch, and the contact block...