Did I get the wrong PSU?

Alright so I'm building my first gaming PC today and I'm watching the Carey Holzman video 'How to build a gaming computer'. At about 1:23:30 he shows that spot where you need to plug in the sqaurish 4 pin connecter from the PSU.. I have an ASUS M4A87TD USB3 motherboard which has that slot. But my PSU (Corsair 500w Builder Series) does not have the cable that should connect there. Is something wrong?