Socket rings (labelled part D, M, or G on various lamps) typically come already screwed on in place on the socket, and can be easy to miss. It also occasionally is packaged in a small bag together with the plug.
To assemble the shade, simply screw the piece off of the socket, place the shade onto the socket, and screw the socket ring back on top, until it is tight and the shade is firmly affixed.
Please see the picture below for reference.