A switch is a device that when pressed, stays on until you turn it off. It requires a pull-up resistor, and this video gives a great explanation of what a pull-up resistor does. Wire the switch as shown in the below diagram. (Replace the button in the diagram with the switch.)
Pressing the switch will turn on the LED. If you want the microprocessor to read the state of the button, connect the yellow wire to a digital pin and use the digitalRead function.