Name the IK Chain
The IK Chain Options dialog will open. Set the Name: to Left Leg. Click the OK button to accept.

Link the cylinder to the IK Chain
Select the cylinder by Command-clicking on it. In the Front view, shift + select the top portion of the IK chain as shown. This top portion is called the root. All initial links need to be applied to this part of the chain. Select the Control > Link/Unlink tool.

The Link Options dialog will now appear. Click OK to accept the default settings.

The following dialog will appear:

Click Park. Hierarchies are much more manageable if all objects within it share the same coordinate system.