Yes, that connector is your CPU power. Look closely again at your PSU cables, there should be an 8 Pin connector with a split down the center (4+4 pin, it can break into two).
Even if it doesn't have a split, see if it will fit into the plug, more than likely, you can fit one half of the connector in there
The other half will stick out, however, don't worry! It won't effect anything.