jaquith and shadow70379 got it right. I just wanted to add that the cap is for dust protection in case you only have 4 pin ATX cable. But as far as I know its always better to give all the power possible to the board by using 8 pin EPS cable, especially when you're using power hungry cpu like my Core i7-975
Its funny because I found this post thinking that ASUS Sabertooth X58 (that looked like nice board for my 975) had only 4 pins, since on every picture I looked at there was a cap that looked to me like a capacitor or something. Now thanks to c_for and his post I know that it has 8 pins.