I know this problem can be fixed..but how?

I can't find any mention of that motherboard on google... Is there a longer model name/number than just '7387'? Also, when you say the '4-pin connector doesn't work' do you mean the CPU fan cooler port on the motherboard? How do you know it isn't working? Is it because the CPU fan is not starting up? Does the system boot normally otherwise? Can you be as specific as possible as to what issues you are experiencing, and also specific as to what the system can and won't do. Also some specifications (Motherboard, CPU cooler, PSU, CPU, memory, GFX, HDD, Case in that order of importance) would help a bunch too...

MSI 7387
http://www.comx-computers.co.za/computer-store-specific...

No, I meant this one (4 pin connector on motherboard)
http://www.google.com.my/imgres?imgurl=http://www.justp...

I know the 4 pin connector doesn't work because when I let the 4 pin (from power supply) unplugged, the power supply can turned on, the fan spinning. Even the CPU fan cooler fully inserted. But when I plug the 4 pin to the motherboard, it make sound "tse tse tse" like something blocked, just "air" that comes out. Then I unplug ALL wires except the 4 pin, I let it connected to the motherboard, and it still make that weird sound, the power supply does not turned on.

As I stated, the power supply work perfectly and I use it on my Gigabyte motherboard with no problem. I use same cpu cooler, cpu, hdd, memory and psu (I just remove them from the Gigabyte and place it to MSI motherboard). ACTUALLY, the cpu cooler, cpu, psu and memory are came from the MSI itself, so when I thought the MSI motherboard was damaged, I buy the new one, the Gigabyte motherboard.

SO, there is no problem to my cpu cooler, memory, psu, cpu and hdd. I'm sure. Please don't be like others. I'm asking them, but most of their answers is just "buy a new one", "don't waste your time", etc. Hopely you can help me.

hrmm... I know the sound you are talking about, that is generally an indication that the PSU is trying to start up but is stopping itself for some reason. I have experienced it a few times myself on older systems. I can only speak from my experience, but what I found was that it was either:

a) a faulty mobo. If this is the case, then fixing it could be a real problem. I know you want to make your own solution, so this as good advice as I can give (other than just saying your mobo is broken so buy a new one). It is common for capacitors (the round cylindrical silvery things, sometimes black with a silver top... sorry not sure of your knowledge) to 'pop' or burst after long use. I would visually check if any of your capacitors have burst. If you don't know what to look for then google 'burst capacitor' and look at the images. If you are lucky, you will find one (rather than this being some other more complex fault with the mobo) and then have the option of replacing it. It's a long shot, but all you would need to do is un-solder the old burst capacitor and solder in a new one (of the exact same type/spec).

b) a faulty PSU. I know you say it works with a different mobo, but a better trick to try to identify if it is indeed the PSU or the mobo is to get another PSU which you know works, and test it with the MSI mobo. That way you can be sure which thing is causing the problem. If you get a friend's PSU and it works with the mobo, then you know that your PSU is the problem. In which case your only real option is to get a new PSU. I know that isn't what you want to hear, but messing around inside an old PSU trying to fix it is a good way to end up shorting a massive capacitor and doing yourself some serious damage (as in its unsafe for you, I certainly wouldn't do it).

Hope this is more helpful than the 'others'... Good luck!

Most of the people here are enthusiasts, sure ... but they likely don't have experience repairing circuit boards. The "buy a new one" and "don't waste your time" answers you got before were actually meant to be helpful, as despite your "Laptop motherboard can be repaired, why not desktop motherboard" quote you might not be able to repair it.

You would likely get a better answer at the manufacturer's web site, where they have trained representatives monitoring the posts.

Ooo. Now I understand. I have not check yet whether the motherboard capacitor leaked or bulged. If it is bulged, should I replace it? I know how to un-soldering/soldering, but do I need to choose same colour, voltage, uF?

Sorry too many question  

Replacing a capacitor is completely at your own risk. But yes, you can try to replace a bulged or leaking capacitor. It would need to be exactly the same specification of capacitor. Colour or brand doesn't need to be the same, but otherwise identical.