You can buy the cables to power the graphics card from a few places. ATI has them I believe. I wouldn't recommend buying the 9800GX2 though, its already outdated technology and ATI/nVidia will be bringing out new dual-powered graphics cards based on their GTX 280 and 4870 chips. The GTX 280 already outperforms the 9800 GX2 most of the time. For the best value for money though, you might want to consider moving your current Mac Pro OS X graphics card to one of the slower ports and then getting two 4850s (well you could get two 4870s but then you'd be two power sockets short on your mobo) and running them in Crossfire.
Two 4850s are about the same as one GTX 280 but with quite a big saving.
Edit: These are the power cables you need to use the power sockets on the Mac Pro's logic board:
http://shop.ati.com/product.asp?sku=3280778
The 4870 X2's are already being previewed by reviewers now so they should be on the market soon. One of those would give you the best Windows gaming performance available on a Mac Pro for a good while yet (without having to magically produce more power connectors). ATI will always have the edge in Mac Pros imo simply because you can use crossfire while nVidia blocks you from using SLI.