I built a system with each kind, so I'll explain.
The 8-pin power connector is on an EPS12V power supply. They generally break apart into two 4-pin segments but do not have to. The 8-pin connector is for use on Xeon boards, particularly dual- or quad-CPU setups. I built a dual-Xeon machine and it needed the 8-pin power supply in addition to the normal 24-pin ATX one.
ATX boards (which yours probably is as PD 940s are LGA775) take a 4-pin 12V power connector. If you have an EPS12V PSU, the 8-pin unit can be broken in half and one (and only one) of the 4-pin halves plugged into the motherboard with the 24-pin ATX connector. But a normal ATX12V PSU is fine for your chip, you do not need an EPS12V one.