That is meant to secure your video card into your motherboard. As long as you keep your card snug in the slot, and don't move your computer much, it should work fine. If it doesn't seem to fit in very tight you should look into ways of fixing it. But you haven't broken anything but the white thing itself.
If the item was broken during shipping they may replace it, if you broke it yourself I'm not sure. It would be spelled out in your receipt.
If the item was broken during shipping they may replace it, if you broke it yourself I'm not sure. It would be spelled out in your receipt.