It will be the bridge ground wire. The kit should have come with some solder in one of the plastic bag sections. You're going to need a soldering iron anyway to make the kit, which means that you've probably got some solder. If you have neither, then you'll need both, or a friend who can do it for you.
One end of that yellow wire will need to be soldered to the back of a pot. The other end needs to feed up through the hole that will be underneath the bridge plate location, with a length of the copper wire bared and then splayed out, so that it's caught between the top of the body and the underside of the bridge plate to ground it
Earth wire to the bridge?
EDIT: What Simon said.
Build 1 - Shoegazer MK1 JMA-1
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