The pwr_fan connector should only be used to plug in a 3-pin connector that is among the cables from the POWER SUPPLY. Unlike other fan connectors, it is NOT used to supply power to that fan. It is only to supply a signal to the mobo from the PSU internal fan to confirm that it actually is running. It's simply another way for the mobo BIOS to check that all the system cooling features are working. If you don't have such a connector coming out of the PSU, don't worry. You might check, though, whether the BIOS Setup screens have a way to tell the BIOS to ignore this non-existent signal; in fact, it may be set that way already by default.
The CPU cooler fan must be plugged into the mobo's CPU_fan pins. If you have a 4-pin mobo connector and a 3-pin fan cable, pay attention to what your manual says about which pins to use - there is usually only one way, anyway, with little opportunity for confusion. IF you have any case fans, they should be connected to the mobo's CHA_fan1 and CHA_fan2 sockets if possible; if not, they can be powered from the PSU's 4-pin Molex connectors. Hooking them to the mobo connectors, however, gives the mobo BIOS a signal to monitor for proper fan function, and MAY (depends on your mobo) allow the BIOS to actually control those case fan speeds. The link provided by Gamerhomie above shows a manual page for a mobo with these capabilities. Note that it specifically says that the speed control systems are only available for the CPU and case fan connectors, and NOT for the PSU fan. That PSU fan speed is only monitored, not controlled, by the BIOS. Also note in that manual page that, if you have case fans to connect, it often provides guidance about which fan to plug into to which connector - this is common, so read your manual!