Some corrections:
2 case fans - better to connect to the TWO SYS_FANx connectors (key #4) - one at lower right, one at top left. The PWR_FAN mobo connector is INTENDED for a special connector that you may not have. Some PSU's have a set of leads coming out on 3 wires that look like a typical 3-wire fan connection, and have such a connector on the end. It is intended to provide to the mobo (for monitoring purposes, NOT for control) the speed signal from the PSU's internal fan. Some posters in these forums have said that the mobo PWR_FAN pinout (on at least some mobos) actually does have the voltages necessary to power a normal 3-pin case fan, although not with any control - just run full speed. But if you only have 2 case fans, use the mobo connectors intended for them. Read your manual for its capability to control fan speed on these.
On a SATA device there are two connectors on the back edge. The smaller one with 7 pins is for the data cable which looks like a flat ribbon and connects to a mobo pinout, preferably SATA_0 as jack_attack said. The wider one with 15 pins is for the power input from the PSU, and it usually has 5 wires coming into it. See this:
http://www.allpinouts.org/index.php/Serial_ATA_%28SATA,_Serial_Advanced_Technology_Attachment%29
IF you have an IDE optical drive, its power connector is 4 round pins recessed in plastic and you plug into it a 4-pin Molex (female) coming from the psu, just like the photo called "Molex" that batuchka posted above. The data connector on a IDE device is 40 pins (2 x 20, but with one missing) and its cable is a wide flat ribbon that usually has 3 connectors on it: the BLUE one on one end goes to the mobo IDE port, the BLACK one on the other end goes to the Master device, and the middle GREY one goes to a Slave device if there is one.
However, your description says the optical drive is also SATA, so just connect it the same way as the HDD, except of course that its data cable will go to SATA_1 on the mobo.
When you get to the stage of connecting front panel cables / wires to your mobo, note these points:
1. If you have a front panel socket for USB and / or IEEE1394a (aka Firewire 400), the connectors and cables from them to the mobo look exactly the same - connector is 2 x 5 pins (holes) with one blocked off. However, DO NOT MIX them up! Connecting an IEEE1394a device to a USB port or vice versa can damage the mobo or device! So be sure that a connector for IEEE1394a is plugged ONLY into the socket marked F_1394 at lower left (key #17), and any USB connectors are plugged only into the pair of pinouts marked F_USBx at lower center (key #16).
2. Check your manual for details of the pins in the F_PANEL connector at lower right, (key #11) Two pins are for the LED indicating power is turned on, and two for the LED indicating HDD activity. Each of these has a + and - polarity designation, and the cable from your case front panel should be so labeled also. BUT if you get one of these reversed, don't panic. The worst case is simply that the LED won't ever light up. Then you just reverse the leads here at the pinout. Two pins are for the On / Off (Power) pushbutton, and two for the Reset pushbutton. These do NOT have any special polarity - just connect. A slightly wider connector on the end of a cable (4 pins wide, but only 2 wires) may be there to connect to the "speaker" pins if there is one, and the pins are part of this mobo pinout. This is for the tiny and tinny-sounding PZO "speaker" user for a few beeps (if your case has one), NOT for your real audio external speaker system. (Some mobo's have this item on the mobo, and the case does not have one.)
3. If you have front panel audio connectors / cable AND you are using the on-board audio system, plug into the F_AUDIO mobo pinout at middle left (key #12). Check your manual for options on which audio standard signal system is in use - it is usually a setting you can change in BIOS if necessary.
4. IF you have a floppy drive (now uncommon), its data cable plugs into FDD (key #6), and its power supply is a Molex 4-pin or, much more likely, a smaller 4-pin coming off the same power wires as the Molex's.
5. Your case probably has a bracket bearing a parallel printer connector with a short internal cable. It is to be mounted in one of the case's rear slot cover positions where you are not using it for a PCI card. The cable plugs into the LPT pinout (key #18).
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