Put the handle back onto the faucet spindle.

Insert the screw into the hole inside of the handle, using the hole on the outside of the handle to tighten the screw with a Phillips #0 screwdriver.

The images show the knob detached from the faucet interface to show what's happening. However, your faucet handle should be attached to the faucet for these steps.

Sometimes, the screws are tighter than usual, in these cases if you try to screw it in, it may damage that ridge's hole. Make sure before putting the handle back onto the faucet's rod, to put the screw in to see whether or not it is a clean fit.