Works as follows. Generally Fans come with 1 or 2 connections.
A 3/4 pin molex KK header connector, which you put onto the motherboard. With this, the fan can be set to auto increase/decrease RPM as the temperature goes up and down. You can also manually control the fan through your system this way. (Speedfan etc). Takes power from the mobo.
A 4 pin PSU molex connector, which takes power from the PSU directly instead of the mobo. handy if you need extra fans and your mobo doesn't have many extra headers.
Some come with either, some come with both. You can buy an adapter to make it go either way.
Edit: For the Kuhler, the CPU fan header powers both the pump and the stock fan that comes with the Kuhler, with a power cable going from the pump to the fan, and from the pump to the mobo header. Additional fans get plugged into the sys_fan headers around your board, or onto your psu, depending on what case/fans you have.
Editedit: Many typos, sorry if you subbed this thread lol.