The graphics card uses two 6-pin connectors.
I'm not sure what "little blue piece" you are talking about. Is it the USB connector for the front USB ports?
Sounds like you got the front connectors set up. that white piece makes it really easy, huh?
Yeah, the 4-pin is a power connector for the mobo so you are good there.
The CPU fan plugs into the four pin just above the CPU socket along the top edge of the mobo. It looks like any other fans will have to connect directly to the PSU.
You have more than enough power connections. Your mobo should have come with two SATA cables, two SATA 6.0Gb/s cables, and a ATA ribbon cable. If the front fan in your case did not come with a power adapter you might need one of these for it (the otehr fans I recommended all come with their own adapter):
Newegg.com - Rosewill 12" Fan power supply cable Model RCW-311