Hi Barry. That'll be what's known as a 'ferrite man' - an orange capacitor for a head and wire legs, going through a black ferrite ceramic filter. They filter out electrical interference and are particularly important on digital cars to help prevent glitches with the chip, like run-aways. The older chips, like in the Audi TT, are susceptible to such things...
You can buy the components at Pendle Slot Racing in the UK - they have packs of ten W8424 Scalextric Ferrite Ceramics Filters, plus packs of ten Pioneer 10nF Capacitors (WR200315). You'll have enough for ten ferrite men for about £10, including postage.
Then it's a case of very carefully soldering the wires to the chip onto the 'shoulders' of the man - the top of the 'legs' just under the orange 'head'. Make sure the two sides do not touch. Then slip on the ferrite filter 'body' over the legs and solder the ends of the legs to the pick-up / guide blade assembly. There should be another ferrite man on the motor you can copy. If not, one needs adding there too.
There is a superb tutorial by GregK here: https://www.slotforum.com/forums/index.php?showtopic=69733
Most Scalextric cars do have ferrite men on both motor and guide, but some do not. Other brands of cars may have just a capacitor on the motor, but a full ferrite man is best fitted front and back. Thankfully, the C7005 and C7006 retro-fit chips have them factory fitted on the guide end, but not on the motor wires.
I hope that helps.