Press the nuts into the nut holders. Insert into the pre-drilled z axis rails. Screw 2 tool holders in place. Make sure this sits flat. This can twist if it is done wrong.
Put the z axis adjust knob in place by tightening the nuts against each other.
Use some white lithium or similar lubricant on the threaded rod. Put the z nut lock on smaller end towards the stepper. Thread on the coupler nut, spring, then regular nut. Put slight tension on the spring, you should feel very little extra friction. Push the whole assembly into the nut lock.
Insert the Z axis rails into the center assembly. Add the Z motor assembly. Make sure the Motor assembly is parallel with the tool holder. Just lining up the tops of the rails is not usually the best way to do this (one rail is longer in the picture). Snug up the top clamps screws.