Just built my second computer. I5 3570k, Raydeon 7870, ASRock Extreme 4, Samsung 840 pro, and cpu cooler Zalman (it has 4 wires). My problem is that my cpu fan runs full speed no matter what. The fan is plugged into "cpu fan 1" connector. It is a 4 pin connector, with a 4 pin fan wiring harness. The BIOS is set to auto mode with an ideal fan setting of 5. Even in the Extreme Utility software (in Windows 7), the fan setting shows the BIOS settings. However the fan runs 'full bore' about 2500 rpms.
So you are running the CPU fan setting in HW monitor tap in auto? Page 70 in your manual.
I changed fan speed in bios from 9 to 5 and there was no noticeable difference. I then changed it to 3 (in Windows), and heard a slight difference, so I adjusted to 2 and the rpm's came down considerably. However when I rebooted the settings went back to former settings in the bios. So long story short...I adjusted the auto fan speed in the bios (way down) 9 to 1 and it dropped about 500 rpms from the fan (2500-2000). Not a very good fan control imho, but it does work.
BTW I set the ideal CPU temp to 50c (its running about 38c) with the low fan setting (1) and it still churns out 2k rpm.