You said that you plugged it into the power supply ? So it's in Molex right ? If it's a molex fan there's no way to change it in the computer. Even if you buy a Molex->3-pin adapter you won't able to adjust the fan speed. The best way should be to tweak your fan molex plug and to put your 12v wire (Yellow) at the place of the 5v (red). This should send less power to the fan and make it quieter. This is not hard to do but it's not as easy as changing the speed. Hope you figure out how to do it or you find another way.
- The Brownie
Thanks, I'll try it out. And yes, I plugged it in through molex