If you truly bought a phono preamp, you'll need to connect that to a receiver's "line in" stage. If you bought an MC step up device - such as a transformer or head amp - then that should connect to a phono input.
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As @cleeds said, if the cartridge/tonearm cable is connected to a phono pre-amp, the phono pre-amp should be connected to any "line-level" input on your receiver, not into the phono input.
The phono input on your receiver is for directly connecting a MM cartridge/tonearm cable to your receiver. It has a phono pre-amp, i.e. Gain and RIAA equalization built into it. If you connect a second phono pre-amp into the circuit you are going to over drive it.
So yes, you are doing something wrong.