If this is your first build I suggest you read your motherboard manual cover to cover, it should explain how to connect everything to your motherboard.
Most of the time will need to plug your heatsink fan into the motherboard or the system will sense 0 RPMS and stop.
Other than that plug them in any way you want.
Usually the choice is make for you by the type of power connector the fan has.
Some simple rules
1) Don't skip the standoffs and screw the motherboard directly to the case. You will short all the pins on the back of the motherboard.
I know someone who returned a motherboard to a local store getting only half his money back before he realized his mistake.
2) Don't touch any jumpers unless you know exactly what it is for and why your are changing it. You know you are dealing with a pro when they tell you they set just the jumpers on their SATA HD to Master. (SATA drives don't have master/slave jumper settings, they just copied the settings from the drive it was replacing)
3) Don't plug anything in just because it looks like it will fit.
I had someone plug a flopply powerconnector into thier soundcard. Some people will plug a spare powerconnector into anything handy because they thing a dangling wire means somethings come lose.
4) Make sure everything is snuggly connected. PCI cards and memory modules should be nice and level, a slight angle will short two of the pins.
4b) If it doesn't fit, don't automatically push harder to make it fit.
I just fixed a PC where someone who added 128 MB to thier system by shoving it backwards. The pins were actually on the side away from the motherboard! That was too years ago and he never noticed that the system still only had 32 MB of memory. I know he put the memory in himself because he bragged about it.
Also there are people who will just push harder if a capacitor on the motherboard was blocking a oversized heatsink or a component on their extra long video card.
5) Don't send be in a rush to send a part back as defective.
I online friend built a PC and couldn't both memory modules recognized. I tole him to posted to Corsairs Forum, which he did, but he skipped all the tests I told him to run and sent back the motherboard for a replacement. Then he sent back the memory for a replacement. Finally gets online and tells me he decided the Corsair memory doesn't work on with his motherboard. I look up his post and Corsair's RAM guy told him a couple hours after he posted that he had bought ECC memory for a board that only took non-ECC.
Weird, because either module would still work in the first slot when the manual says ECC shouldn't work at all.
5b) If someone suggests you test a part don't skip the test and return the part. Twice I had people send back memory module becasue I told them to try runing memtest86 to verify they were working correctly, without running the test.
Actually none of this is probably usefull to you. But it might make you feel less stupid if you make a mistake.
If you don't know something ask or look it up, don't guess. And if you run into problems it usually a simple mistake rather than a defective part or some perviously unknown incompatibility between parts.