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#1391
Ok, that blue connector plugs into the 19 pin socket just below the 24 pin socket on the MOBO (motherboard).
The two connectors marked USB go to two of three sockets at the bottom of the MOBO that are marked USB. It doesn't matter which two you use.
The one marked HD Audio goes into the Audio socket at the bottom left of the MOBO.
You can buy extensions for the PSU cables. Extensions for the CPU power cable is the most popular one.