Hi, Vanessa, glad to know you're feeling better!
I have the same toy - the yellow plastic piece plugs into the connector on the back of the toy. You can then slot the two blue, baseball-bat shaped missiles into the back of the yellow piece, in an "X" shape. If you're missing the missiles (er... no pun intended!), that might explain why it seems a bit of an odd inclusion.
You wouldn't happen to have a spare right hand, would you? Mine was either mising when I bought it and I didn't check it enough, or it went missing in transit...
"The power of bakers, the power of artists; even the power of witches! It must be a power given by God... sometimes we suffer for it."- Ursula, Kikis Delivery Service.