PCI-E power issues.

Okay, so my new ATI 5870 requires two PCI-E power sockets. One of them won't clip in, so I assume it's broken.
Fortunately, the card came with one of these:
However, I cannot find where the end connects to. Anyone know the name of the connection and where it goes?
Fortunately, the card came with one of these:

However, I cannot find where the end connects to. Anyone know the name of the connection and where it goes?