Do anything you want! I use the purple and lighter colors on the lid, the darker on the crease, dampen a brush and line the eyes with the darkest shade, and the brow bone area gets the lightest - that's the fastest and easiest way I use this set and it will look pretty.
This really depends on your eye shape! However, what I do is use the very lightest shade very lightly under my brows. I then use the second lightest colors on my lids. The third lightest color I use from the middle of my lid to corner of eye, and then lightly up to meet the brow color. The beautiful purple I use very lightly in the crease of my eyelid and blend it out to the corner. I then use a blending brush to go over the whole eye, starting at inside of the eye and blending out. Have fun with it! The purple is great for lids if you want to do a smokey eye, but since I am 54 and have a very hooded eyelid, I am careful about using all dark shadow on my lid...i hope this makes some sense!