HDA isn't the hard drive activity light, it is the header for the HD front panel audio. The Hard drive activity light is among the Front Panel IO block.
The case you have bought obviously has a cable with two connectors at the end, one HDA and the other AC97.
Depending on the age, etc, of your board, you will need to plug only one of these into the front panel sound header on your board. I have often seen this header towards the back of the motherboard, and a few times to the left of the board.
The header is a 10 pin connector, with one pin missing, so you cannot possibly put it in the wrong way round.