Parallax Gyroscope

I you go to the "Arduino Uno" part on that page, it shows how to connect and an example program.

For the pins, see the datasheet of the sensor: http://www.st.com/internet/analog/product/250373.jsp

The I2C-bus is a serial digital bus with two wires : SDA and SCL.
The Arduino Uno has the SDA on analog pin A4 and SCL on analog pin A5. Those pins are not only analog pins, but also digital pins, and also SDA and SCL for the I2C-bus.