The PSU manual should tell you all about which connector goes to which.
The main ones are:
4-pin molex - for 5.25" & 3.5" devices like optical drives and hard drives (though some newer HDDs only come with SATA power plug.
24-pin ATX - goes to the motherboard, just look for the big long connector on the right edge of motherboard.
4-pin square 12V+ - also goes to the motherboard, the connector is usually around CPU socket.
S-ATA power - only used for SATA hard drives and optical drives. Some SATA drives also come with standard 4-pin molex as well.
6-pin PCI-E - goes to the grapihcs card, 8800GTX will require 2 of these.