This thing actually got an extra shield wire or something and i am not sure where to connect it. So if any of you guys got an idea of how this works please tell.
Depends! If the wire is connected to the frame of the load cell, then it is a safety ground and should be connected to the ground of your power supply, which will then go to the mains power ground.
If not connected to the cell frame, then it is just the cable shield and should be connected to the Arduino ground,