Reformatting.. HD not detected?

So I'm reformatting Windows XP.  And my Hard Drive isn't detected.  Here's the scoop:

Got a new PSU, plugged it in.  The 24-pin goes into the motherboard.  There's a square-ish 4-pin that I also plugged into the motherboard.  I have no idea what it does (enlighten me), but it fits there so I put it in.  I plugged a 4-pin into the CD-ROM drive.  I plugged a flat pin thingy into the Hard Drive.

From the Hard Drive, there's a smaller blue flattish thing going to the corner of the motherboard.  There's an unused space on the Hard Drive, looks like an 8-pin thingy.  No idea what should go there.

So, uhh... what am I doing wrong?

My old PSU was a Dell Stock 300V.  When I tried to reformat my PC with Ubuntu Linux, the PSU died.  It seemed like something burned : /  The new PSU I bought is a Rosewill 500V, so it's got enough power.

I suspected that the PSU may have melted my Hard Drive with it.  Is the Hard Drive the first to go when a PSU fries?