On my I/O shield that came with my Abit IP35-Pro mobo, there pieces of metal over most of the holes that would block any connection. I was thinking when I put the mobo in, it would somehow resolve itself. Doens't appear so.
Do I just break all these little pieces off so there can actually be connections?
Yup, break any metal off that cover the connections. The I/O shield is common to many mobos and some don't have all of the connections, so they are covered.