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?

Been checking the Dell forums, and it looks like it's that the Dell motherboard can't detect a Hard Drive bceause of lack of drivers.  And I'll never get them, because I lost my Dell Resource Disk and they won't replace it unless I renew my warranty.  And, my Dimension 4700 doesn't have a floppy drive.

I think I may need to buy a new motherboard.