to connect a servo you will need something called a shield.
the arduino has a female header with no power bus. the shield makes it so there is a male header with a power bus.
alternatively for a quick fix, you can stick wires down the servo connector and jumper it over to the female headers...
you will take the yellow (signal) wire from the servo to a digital pwm output on the arduino (pin 9/10/11)
the red wire will go to unregulated power (make sure your battery pack isn't higher than 7.2V)
the black wire will go to gnd on the arduino.