Physically, it will plug in - the single link connector has less pins than the dual link connector.
You could probably even use it - with certain restrictions - Less bandwidth and lower resolutions supported (1920 × 1200 @ 60hz is the maximum supported over single link. Dual-link takes this up to 2560 × 1600 @ 60 Hz).
As you have not opened the package, you should return/replace the cable and get the correct one.