It's the SLI Bridge. I'm not totally sure if there's a right or wrong slot to attach the 2 cards, just make sure it's the same one on both cards. I had my 2 9800 gtx's SLI'd using the right-side slots and it worked fine. (For some odd reason it wouldn't register as SLI in XP using the left slots)
Has it right it is a SLI bridge. As for which SLI connector to use on the card it does not matter you can use either one. Generally it is recommended to use the outer left connector though.
Hope this helps. Please enjoy the rest of your day.
In general, SLI bridges are included with the boards that support it. With Crossfire however the connectors are usually supplied with the cards. I don't know exactly why its done that way but thats been my observation.