SLi bridges are normally part of the motherboard bundle and in all my years of buying Nvidia cards I have never had an SLi bridge included in the packaging.
+1, I haven't got a SLI bridge with my GTX 560 Ti (and no nVidia sticker either, lol), but I got it with my Asus P8P67 Pro. OP, SLI bridge looks like a short wide connector similar to what IDE connectors used to look like - you can't really mistake it for anything else. Also, look in Wikipedia or Google for pictures - might help.
Surprised no one threw a picture in: