Where do you plug in CPU Fans?

This is my first build so bear with me if I miss something completely obvious.

I got myself 2 Yate Loon fans for a Megahalem cooler. It's connected to a EX58 UD5 motherboard.

The question is, where do I plug in all the cables running out of the fan? Theres a 3 pin connector head and molex connectors. What goes where?

I think the 3 pin connector goes onto the motherboard Fan headers....can I use any fan header? The CPU fan header is 4 pin, while the system fan headers are 3 pin on the motherboard.

And what do I do with the molex connectors? Do they connect to the power supply?