The H80i doesn't. That's the main difference. Forgot to mention that. So the thing you see on the pump that says "Link" is for the hardware controller linked above. Don't worry about that if you don't have it.
After you install the cooler's fans and power, you just plug in the USB cable to a USB header on your motherboard. Then the software you install will detect the cooler. You have to use the H80i, not the H80. That (i.e. the USB) is the difference between the two, and that difference is what allows the Corsair Link software to control the cooler.
Oh, your question had "link" in the title, so I thought it was about the Corsiar Link software.
Anyway, which plug are your trying to connect? I may be wrong, but I think it has only fan plugs and a power plug for the pump. Does it also have a USB plug? Maybe post some pictures. The fan plugs (small ones) go into any fan header on your motherboard. Those look like this: http://assets.hardwarezone.com/2009/img/data/articles/2004/1215/02-fan_header_install.jpg
here is the fan power i use for my to fans :http://www.google.no/imgres?imgurl=http%3A%2F%2Fmedia.bestofmicro.com%2FP%2FC%2F317136%2Foriginal%2Fcorsair_h80-install-2.jpg&imgrefurl=http%3A%2F%2Fwww.tomshardware.com%2Freviews%2Fh2o-h80-h100-benchmark-overclocking%2C3084-4.html&h=432&w=550&tbnid=sasn1L0ihWmvNM%3A&zoom=1&docid=BmS5mhSzt8IdjM&ei=hNA-U_fyMab-ygOCkoHABw&tbm=isch&ved=0CFQQhBwwAQ&iact=rc&dur=2446&page=1&start=0&ndsp=38
The H80i doesn't. That's the main difference. Forgot to mention that. So the thing you see on the pump that says "Link" is for the hardware controller linked above. Don't worry about that if you don't have it.