its not a power connector, its a molex to 6 pin PCI-E power adapter, and should NOT be used for a single card, if your PSU did not come with a 6 pin PCI-E cable it likely does not have enough power. What card did you get and what power supply do you have?
The connector is not to improve the performance of the graphics card, its to prevent it from crashing because it doesnt have enough power to function at full load. Your power supply should have a 6 pin or a 6+2 pin PCI-E connector that you can plug into the card, once you do that you dont need the adapter.
In the future though, read the manual, its not just a paper weight.