When in doubt take it to an electrician with that diagram and they should be able to wire it up for you for around $50. If you are interested in learning about electricity/wiring I'd suggest you pick up a book from a home improvement store about basic wiring. It should spell out all the basics in a nice step by step view.
Otherwise here is my best explication using this wiring diagram.
The input power will come from a three prong wall plug (like a computer power cable). When you slice off the end you will see three wires (Black, White and green).
When electricity runs in to a device it comes in through the black wire (hot wire) and returns to the wall through the neutral wire. I needs be be a complete circuit for it to work properly.
Now, starting at the input the hot wire runs to the left 120 port. This connection powers the temp control unit. Now from the right 120 port connect a black wire to the left Stage 1 port. On the right Stage 1 port connect it to the hot wire of the heater or a wall plug. The Stage 1 ports acts as a gate to cooling device. When it needs to cool it opens the gate to allow electricity through to that device. Connect the neutral wire on the cooling device back to the neutral wire of the input device. For Stage 2 you will do the same by connecting the right 120 port to the left Stage 2.
Before you plug it in have an electrician inspect it (or don't but you may fry yourself or your device if wired improperly.)