This push button is made of black plastic with the LED built in. There are two contacts for the LED (marked + and -) and two contacts for the button. The forward voltage is about 3V so a 220 to 1000 ohm resistor is recommended if you are using a power source of 3V or higher.
This particular button is green and 'normally open'. When not pressed the contact is open. When you press the button, contacts are connected until the button is released. The LED works independently of the button. For example, you can have the LED turn on when the button is pressed, or not, or always on, etc.