Yep, sounds like the UV. You should have a power supply with it. I've run my tank without UV for a year, I won't get into the nitty gritty about the merits and downsides to UV on a marine tank, but it's not vastly important to be honest so I wouldn't worry if you don't have it, although I would probably chase up the shop you bought it from anyway as you didn't get what you paid for....
Are you going with live rock & corals or fish only? That will affect what you do with the media and sponge...