MSI website for your AIO CPU Cooler has a Youtube video on how to install it on a TR4 Motherboard: https://www.msi.com/Liquid-Cooling/MPG-CORELIQUID-K360
NOTE: You didn't mention what part you needed to connect to the TR4 motherboard but I would open a MSI Support ticket if you have any parts missing from your CPU Cooler.
I think Orloc is talking about the mounting bracket included in 3990x boxed retail.
Threadripper 3990X Retail box & contents
Ask the seller about the missing part/s.
In the image by @goodplay it shows the Ryzen 9 3990x Mounting Bracket:
Now if you purchased the Ryzen 3990x and it didn't come in a official AMD Retail Box then you need to ask the vender or seller to try and get you that mounting bracket that comes inside a AMD Retail Box since they are the one in charge of your Warranty and not AMD.
AMD 3 year Warranty only covers Users that purchase a sealed AMD Retail Box processor. OEM Processors Warranties are coverered by the Retailer or vendor that sold you the OEM Processor.
OEM Processors are sold generally in a plastic Clamshell or Non-AMD box without any accessories which makes them cheaper than the Sealed AMD Retail Box that does come with all the extra accessories. But the AMD Warranty is voided.