I have the AT-2500TX and I do not know where I plug that little cable in?
The little cable on the 2500TX card is the WOL (wake-on-LAN) cable. It allows a network administrator to remotely wake up a "sleeping" computer. It works differently with different motherboards and we do not recommend it for a standard operation, just leave the cable hanging.
This cable goes to a connection on your motherboard. Please consult your motherboard documentation for locating this connection.