The blue cap is secured to the bit driver by a threaded post that screws into the bit driver's upper body.

The threaded post can't be screwed into the upper body by twisting the cap because the cap spins freely around the post. Instead, you'll need to hold the post still so the upper body can be screwed on.

Don't tie the floss into a knot as this will prevent you from removing the floss after the upper body has been screwed on to the threaded post.