The connection labelled CPU_FAN is reserved for the cooler that attaches onto the CPU chip so not that one. You should have other connections spread throughout the motherboard, like SYS_FAN or PWR_FAN, that you can plug the fan into. Can you list your system specs?
You can plug the 3-pin connector from the case fan anywhere on the motherboard except for CPU_FAN. Where you plug it into will depend on where you decide to mount the fan and also the length of the wires. You can plug into the SYS_FAN if you want.