Fans are not very complicated, and you're already most of the way there.
First, you are right to connect the CPU cooling fan to the mobo CPU_FAN pinout. That is really the only good way to do it. That allows the mobo to monitor the CPU fan in case of failure, and to control its speed according to a temperature sensor inside the CPU case. You would not want another fan connected to this pinout.
Next, some general rules on cooling fan connections. The older style uses 3 pins on the male mobo pinout and a matching 3-hole female connector on the wires from the fan. The color code is black for Ground, red for +12 VDC (varies to achieve fan speed control), and yellow for a pulse signal sent by the fan back to the mobo for speed measurement. The newer 4-pin system uses the same three lines plus a fourth for PWM signal. It uses a different color coding system, and in PWM mode the +12 VDC line is always at that voltage - fan speed is actually controlled by a little module inside the fan that uses the PWM signal to control flow of current to the motor.
With clever design it is arranged that any 4-pin male mobo pinout can accept either a 3-pin or a 4-pin connector from a fan. In each case the first three lines are the same. Physically there is only one way to plug in the connector, no matter which. The only thing a user needs to do is in setting up how the fan speed is controlled. Within the BIOS Setup configuration spot for a 4-pin mobo pinout for a fan, you need to tell it whether it is feeding a PWM (4-pin) fan or a 3-pin fan. Then the mobo can arrange to send the correct speed control signals out the port.
If you have a 3-pin mobo pinout for a fan, you can ONLY use a 3-pin fan - no 4-pin fan can work from that.
Some mobos have a pinout labeled PWR_FAN. It is used for a special connector that looks like a 3-pin connector from a fan, but comes directly out of the PSU. It intent is NOT to control the PSU's internal fan speed - that is done within the PSU itself. But IF your PSU has this connector, it provides the PSU fan's speed signal to the mobo for display. Many PSU's do not have such a signal output. I have seen posters here say that this mobo pinout actually can accommodate a normal 3-pin case cooling fan, but it will always run at full speed.
Your mobo will have one or more pinouts labeled SYS_FANx for case fans. Depending on your BIOS, it may actually control the speed of the fans connected to these pinouts, based on temperature sensors built into the mobo. On some systems the control configuration is done inside the BIOS Setup screens. On some it is not, and access is via a software utility provided with the mobo on a CD.
If you don't have enough mobo pinouts for your case fans you can always power them from the PSU directly, usually from some 4-pin Molex connectors (the large ones with 4 holes in line, intended to power IDE hard drives etc.). Fans with modern 3-pin female connectors on the end of their wires often will also have an adapter to let you connect to a Molex. In your case, the adapter is made with an additional female Molex connector on it, too, so that it "regenerates" a Molex output to replace the one you "used". When you use this power source the fan will always run at full speed. That is, unless you also buy a speed control module that connects between source and fan, and allows you to set it to one fixed slower speed of your choosing.
If it turns out that your mobo's pinouts really do provide control of fan speed only on the 4-pin connector (you can still plug into that any 3-pin fan), there is a way you could modify the wires to run TWO fans under control from that. You would splice together from the two fans the black wires and red wires (separately) on one connector, but do NOT splice the two yellows together. Just leave one yellow wire not connected. This will power both fans in parallel from one variable voltage for speed control, but the mobo will receive the speed measurement signal from only one of the two fans - the other will never be known. From what I read around here, most mobo pinouts can power two fans in parallel, but not more than that.