I'm going to combine these two posts and make a detailed answer. A CPU motherboard header is traditionally a 4-pin header. Attaching a fan to this header will cause the fan to fluctuate rotation speeds in response to fluctuations in CPU temperature. As you have probably guessed, higher RPM results from higher CPU temperature and vice verse. Both 3-pin and 4-pin motherboard headers have a plastic tab that fits into the slot on a fan header. No matter which pin count and hole count combination you have, the fan header and motherboard header should fit together and produce a powered fan.
Now if you're using a regular case fan (attached to the chassis directly), you wouldn't want to use a CPU fan header to power the fan if you have the choice. As stated above, regular motherboard headers supply full power (12V) to the fan header, and thus maximum fan speed. Case fans shouldn't fluctuate in speed for various reasons.