What you are probably seeing is your machine has IDE cables (these are wide ribbon like cables) and molex power connectors.
The drive you have is SATA, which use different cables (they look like an L shaped connector. One small and the other a little larger)
If this is right there are a couple of ways to work around thise issue. I will suggest what I believe is easiest if you want the drive physically installed into your PC, although others might have better solutions.
If your computer is a few years old there may be no SATA ports, but have a look any way. You need to look at the motherboard for connectors like this:
Also have a look at the cables that all run from the box inside the pc, you need a SATA power cable, it looks like this:
If there are SATA ports on your motherboard you are in luck. A SATA cable should have been provided with the drive, but if not you need to go to your PC parts supplier and get one. They are reasonably cheap, should be less than $10. If there is no SATA power adapter you will need a molex to SATA cable, they are cheap also.
If you don't have SATA ports on the motherboard you can get a SATA card like the one listed below on eBay: