the pieces should be male....even via online pictures (and the fact that i have the same cooler) they should be male. so to clarify, yes you have the thing that plugs into the usb header plugged in to motherboard, and then also into pump. this is correct and good
the only other seperate cord that came with is (not attatched at either end to anything) should have been the fan header splitter which one end plugs into the pump housing right near the usb thing, while the other end of it is 2 male 3 or 4 pin fan connectors (can't remember cause i'm not at home).