im new to the whole crossfire thing...my build is an AMD Phenom II X4 955 Black Edition 3.2 ghz cpu, 4gb 1600 mhz Ram, Asus M4A78T-E mobo, with a gtx 260 vid card...mobo does support xfire..the 260 is a place holder (got it for 25 bucks from a friend who upgraded)
Unless things have changed in the last month, the 5770s from xfx don't come with the xfire interconnect cable. As to whether or not you absolutely need one, I'd imagine you do but I could be wrong. When you buy your cards, create a support ticket with xfx and they'll mail one out to you for free the next day. Took me 2 business days to get mine.