I have a 2002 Mazda Protege 5 and I bought a new fender for my passenger side. The original fender does not have a side light. But the new fend has a hole for one. How can I connect a side light for the passenger side so I have side lights on both sides of the car

 

I don't think your car has the wiring for those lights. Your new fender was from a 2003, that's what's up with the different fender.
I'd probably either just roll with the mismatched fenders or find a way to lose the light on the driver's side. Bondo? Well placed sticker?

If it's killing you, maybe find a nice driver's fender and figure out how to wire them in.

EDIT: Wait, which fender are we talking about? Your passenger's seems to be the ugly one. Did you already replace the driver's side?