They DO NOT connect.
They are 2 seperate types that ARE NOT
compatible. Not to mention YOU DO NOT
SLI a PhysX card. It stands alone.
Just to clarify
I would get your system running without the PhysX card in and worry about that once your set up and comfy.
You will have to follow that thread I linked to get around the wall of ATI and Nvidia crossing. or get a new card.
My personal opinion is I would use the gts450 for now return the 5870 and get a Nvidia card. That's just what I would do because I wouldn't feel right forcing the cards like that.
You can work around this but it won't be a cake walk.