Welcome to the site, and congratulations on buying your 04. I love mine. The voltage regulator bolts to the frame on the left side (clutch handle side), just behind the steering head. There is a single bolt hole in the frame that it attaches to. The wiring should run up from the ignition cover on the left side, through the little bendable clamp on the cylinder head and up to connect to the wiring harness. The coil mounts under the gas tank in front of the cylinder, and some wiring runs through there, and around to the throttle position sensor on the carb. The rest runs up the frame under the rail to the voltage regulator and to the cdi box which mounts behind the number plate. There are grey connectors that attach at each junction, and they snap into those metal clips on the frame. If you need a picture of the wiring more closely, I can snap some pictures this weekend, but it should be pretty straight forward once you get everything mounted and the wire ran. Post some pics if you get stumped.
As for the no fire issue, I would try a few things. When you mount your coil make sure you have bare metal on the mounting brackets. Also, buy some contact cleaner and clean all your connections. If you get it all assembled, are sure it's clean and still can't get a spark, try this troubleshooting guide Sandblaster put together. It will show you how to test the electrical components to see if they are faulty. It's for a 500, but should work for your 250 as well.
http://www.oem-cycle.com/forum/viewtopic.php?f=40&t=163