Did you by chance NOT remove the cap on the end of the spark plug and try to force the cable end on to the plug?
Don't fret over it, the spark plugs universal end cap screws right off, as does the kits plastic connector to the plug.
If you have a Syhawk kit it should even have a replacement to screw back on to the cable, just make sure to use some pliers and take the top cap off the plug so it's just bare threads you connect it to ;-"
If not, well, any auto parts store should have a spare spark plug cable they might just give you, just pay attention to how it connects as car wires use that spark plug top cap to connect to.
Directly wiring the CDI out to the plug top, heck ya it will work, a big fat piece of copper wire will put every milliamp of CDI power to the plug, you just don't want to be around it if you have a pacemaker or any audio electrical device.
Without some shielding these little motor Dyno's and CDI put out one **** of an EMF pulse on every stroke, hence why most every spark plug powered motor on earth uses a shielded non-copper plug wire.
I do highly recommend an upgrade to a better wire and Iridium plug, About $25 for both but you don't have to take the end cap off the plug, it the upgraded wire fits it, and that simple upgrade, from my experience, is a noticeable performance upgrade.
Granted, a slight performance gain, but a gain you fell none the less ;-}
