Oooh, yes, this...
I had this query when I built my current rig, as it was the first time I had dealt with so called 8-pin CPU connectors, but really it's just two 4-pin connectors next to each other; personally, I think this is annoyingly misleading, but none-the-less works. As someone said, just connect as normal, keeping sure to use the...
0 0 x x
0 0 x x
...CPU plug as shown above, or of course on the opposite side. To my knowledge, it's impossible to put them in wrong, unless you force it.
Motherboards with these 8-pin CPU power looking things are simply allowing you to have more power fed to the CPU, should it be necessary; it's nowt to worry about.
G'luck!