Nice work guys, poster asks for some help about installing hard drives and all we manage so far is "it's sata" and then talk about the cpu fan.........
Anyways, the small thin red wire is your Sata cable as you seem to have worked out now. If you dont have anymore (they usually come with the mobo but i am guessing its prebuilt) then you will need to buy some. They are cheap so that shouldn't be a problem.
As for the other lead that plugs in, thats the power connector, check to see if there are any more of the same type coming from your PSU. If not then it is possible to buy a convertor to change some of the other type of power supply ends to a sata connector. Should be easy enough to find on sites such as newegg.
Just look for SATA hard drives and you should be sorted. Plug them in with the new cables and hopefully it should be picked up.
Don't forget to format these new drives after they are installed before trying to add any data to them
If you don't have a SATA type power conencter then yes you need one of those splitters and you need one of these http://www.ebuyer.com/UK/product/106547 (I think, I can't tell if you have an SATA port on your board and I don't know what board it is so I can't check)
You need 415 on the converter if you buy the cable. 416 looks like it is a combo of the power splitter and data cable which would mean you don't need to buy the cable seperately.