Chain Connecting Pins are Shimano's preferred way of joining chains.
To install, once you've pressed a pin out, simply slide the chain pin through with the chamferred end first. Then using a chain breaking tool, push the link through until it's almost flush.
You can then snap the part that is sticking out off with a pair of pliers.
If you run a Shimano chain, then carrying a connecting pin is a great way to avoid a very long walk!