That's the heatsinc. There is some thermal paste on the bottom of that correct? Usually it comes pre-applied on stock coolers, but if it didn't, that's most likely what you are missing. I hope you did install it right? It isn't just sitting there right?
Also, if your PSU isn't 80+ certified, they will usually kill your system.
You shouldn't cheap out on a PSU.
Last thing, what CPU did you get.
-Let me know