I think it's the blue guy in this picture
The red ones are for your hard drives, the tiny red ones if you chose to go SATA
I would put the DVD/RW on the end of the cable and set it as master, the other drive in the middle of the cable set as slave.
If you use SATA hard drives, don't use more than one power cable per drive - they have two types of connectors - use the newer SATA connectors. And be very careful with the SATA connectors - they're easy to pull clear off the motherboard or snap the L-shaped support. Once you fasten the cable to the motherboard, don't try to pull it back off. If you use the EIDE hard drives, ignore that info.
The little black one higher up on the board is smaller and used for floppy if you want one.