Metalrenok :
Some of them come with the molex plugs, if not, you can buy these http://www.amazon.com/3pin-power-4pin-molex-adapter/dp/B000H25PBK
Your adapter is backwards(wrong connector on both sides). It turns a fan header into a molex(12 volt only).
These are good for connecting fans with the 4 pin molex to your board or fan controller.
You would need this.
http://www.amazon.com/Alpha-Omega-3-Pin-4-Pin-Adapter/dp/B000BSJGL0/ref=cm_cr_pr_product_top
but as said above, almost all fans come with one now.
I have some of my more quiet fans connected to a molex adapter. Louder fans should go on the board if(not all boards control all fan headers) it can slow them down to make it more quiet when the system does not need too much cooling.