New computer questions. HELP!

I'll try to explain this as best I can: Okay, I just got a studio XPS 435mt, with Vista.  I am a photographer, so I wanted the best quality monitor out there, well, within a reasonable price. My 'gaming nut' friend, suggested I get a higher video card, so I added the ATI Radeon HD 4850 series to it.

I then purchased an SP2309w 23' monitor.

Okay, here in lies the problem: when the monitor came, it came with the usual video cables: VGA, DVI, and the DVI to VGA adapter. But, it also came with what is confusing me! It is an ATI Radeon Graphics adapter? I think? It's gray, and has the HDMI on one end, and the DVI on the other? Huh? Anyway, to use this? Do I need an HDMI cable? To plug into my monitor? HELP!

Or? do I just ignore it like i've been doing, and keep using my DVI white cable?

I'm wondering if my video card series 'works' better with this being used?

Also, at the moment, I keep getting an error message when I try to use my Adobe Photoshop software.  When logging on to it, It says: the monitor Profile "Dell SP2309w" Appears to be defective. Please rerun your monitor calibration software. What?

So, I put in the stupid cd that comes with the monitor, and do everything it says, and STILL...I get that error message.

Should I try and ignore it? And just edit with blind faith that the color will be exact? That would be a pricey mistake for me if it turns out all wrong! Has anyone come across this problem? Any advice?

Thank you!

Texphotographer