If you look at your walking foot, there should be a hole in the back to insert that guide.
The guide, itself, is usually just an "L" shaped bar that slides into that hole.
The walking feet I've gotten (IIRC) came with that bar.
So you sure you don't have a bar floating around in your goodies?
Also.... those bars come in different diameters... so make sure if you order one or go to a store to buy one, that you have your walking foot with you or you know what brand/supplier was the source of the walking foot.
HTH