Look inside the box that came with your motherboard - it should have a SATA or IDE cable(at least one of each)
your case should have the screws to mount it(my OEM drive came with the screws though, but no cables)
OEM - Original Equipment manufacturer
OEM parts are cheaper than retail parts, but are manily used to sell in bulk to retail stores (like a custom computer store that sells custom built systems)
they also do not come with cables or screws or drivers ect...
The reason most optical drives and HDD's come OEM is because you dont need drivers or cables(b.c a motherboard comes with them) and in most cases screws(the cases come with those)
i got a little worried about that my first build also(it was about 2 weeks ago) but you should be fine, have fun putting it together but READ INSTRUCTIONS CAREFULLY - since its your first time. Most stuff is self explanitory, but dont go guessing on how 2 put things in - i cut my finger that way.... lol
so be ready to read a little bit if your not sure