This depends on your power supply. It should be a stand-alone cable coming out of the box with a 4 or 8 pin connector. Sometimes it'll have a nice label on it "CPU".
If you have a nice new 'fancy' power supply, you may find an 8-pin PCIe connector as well. Do not plug this one into the CPU power.
They are KEYED differently, you'll note that the connectors are made up of different patterns (squares/notches). There is only 1 that will match the CPU power socket. The board only needs 4 of the 8 and you'll find that half of the 8-pin will be keyed to match.