I just bought a new one and put it on about 2 weeks ago. I hadn't had one since my engine rebuild 1 1/2 years ago, it got thrown away. Anyways, maybe your just missing some clips or screws. There are 3 metal screws across the front of it and 5 plastic clips on the sides, see if any are missing. You can order new one for a couple bucks from the dealership.
That splash guard protects your drivebelts from crap hitting them, they're only about 1 foot away from your front driver side wheel and without the splash guard nothing is stopping rocks, sand, water and whatever else from hitting the belts/getting caught in between the belts and pulleys.