Seems fairly straightforward, right? A 1/4″ cable connects the instrument to the DI box. Is there really a right and wrong way to do this?
As far as sound quality is concerned, no. There’s nothing more to it than plugging into the correct jack. The difference I’m talking about is whether or not you cause a loud “pop” in the system. There are two connections to be made: one at the guitar and the other at the DI box. And the order in which they are connected determines whether or not you get a “pop”.