If you're not used to this, don't worry. Its not a big deal at all.
This is slightly scarier but only very slightly. There is usually a small clasp on one side that you have to hold open while removing this from your motherboard.
Some PSU's require at least a small load for this test to work.
If your PSU is a corsair like mine, then any black wire is a ground wire. This is not dangerous at all, its just basically telling the PSU to power up as soon as its turned on.
The attached ATX pinout diagram identifies the ground pins you can use. This is for the common 24-pin ATX power connector.
If the PSU fan powers on and starts spinning, then your PSU is most likely good! In my case, my PSU didn't budge so I know its busted and I'll be ordering a replacement.