Yes, you need to check whether your PSU has it.
Check this photo, it's my system:http://img860.imageshack.us/img860/3246/dscf4754h.jpg
The lower circle shows when cables come out of my PSU.
The upper one shows where you have to plug in the 6 pin connection.
You don't have to hide the cables like I did, just connect the 6 pin connector from your PSU to your Graphics card.
That's how my GTX 560 Ti looks after I connected it, please note, my card requires 2 connectors, while yours will require one (probably):http://img685.imageshack.us/img685/4194/dsc01693u.jpg