How many 12v rails does the PSU have? Positive rails only... the negative rail doesn't count. How many amps are on each rail?
If your PSU has less than 26-28 amps in total across the rails added up, then there is your problem... the GPU is trying to draw more amps than the PSU can supply, and it will cause your PSU to burn out in a short amount of time.
500W is probably enough, though for a 9800GT I would have gone at least 650W. I have a 1000W Antec in my machine (Quad rail total 100amp) and that's struggling at times with my GTX280's. Watts are really never a good indication of a power supply's true output though... it all comes down to the amps.
There should be a sticker or printing on the side of the PSU that will tell you how many 12v rails and how many amps per rail.
*EDIT*
Nevermind I just googled your PSU... you have two 12v rails with 17a each... it should be fine. Usually the noise you are hearing is caused from overloading the PSU. It could also have a minor fault in it.
I suggest to phone the store you bought it from, and ask them what they think... I would be inclined to try and get an exchange on it just in case, because if it does have a minor fault and it blows up... it might damage other parts of your computer that will not be covered under the PSU warranty.
~Sol