the brown ceramic balls go in first, then the eheim mech (the hollow cylinders), then the blue sponge followed by the white floss. The black piece is the carbon which should be thrown away after a month or so.
edit: oh, i didnt read that you didnt get any media with the filter.
well, with my eheim, i use Ehiem substrate pro (the brown ceramic balls) and Eheim mech (looks like hollow cylinders) and a sponge+filter floss.
There's no one way to fill it up, but the general method is to have the bigger pieces at the bottom to catch all the larger pieces of gunk, while the finer media like the sponge and floss up top to catch the finer stuff.