Ok, lets look at each wire:
1. First , the switch has a black wire. That black wire is going to connect to the power in your box
The Brass screw on the receptacle portion will ALSO connect to that same power wire.
So, you have 3 wires joined together with a wire nut.
2. The receptacle has a silver screw, that you will connect a short 6-8" piece of white wire to and take the other end and connect to the white wires existing in the box that are already under a wire nut.
3. The red wire on the switch connects to the red wire off the OLD switch
4. The yellow wire off the switch connects to he blue wire off the old switch
5. Connect a short ground wire to the receptacle portion and then connect the other end to the existing grounds in the box
That is it, nothing more
Any wires that are not connected at this time, there is no way for me to know what it goes to, you would have to trace the wire and find its location. It could go anywhere, there are no standards in wiring homes, it is any way someone installs the wiring.
Leave any unconnected now, unconnected.