I guess reading around the web, it seems that most say to plug the 3 pin into the first 3 pins of a 4 pin MB header. However, when I try this on my motherboard, it simply won't fit; I believe it is because the little plastic tab sticking out from the 4pin header blocks the 3 pin connector.
I can, however, plug the 3 pin connector by bypassing the first pin and using the last 3 instead. But this configuration doesn't make sense to me, because according to my motherboard manual, the first 3 pins are Ground, Control, and Sensor with the last pin not being used. So it's technically only connected to the Control and Sensor pins.
So, the way I have it, the fan is only plugged into the last 3 pins: Control, Sensor, and No use. The fan appears to be working fine, but I don't know if this will somehow cause problems because the 3 pin is not plugged into the Ground pin of the 4 pin header.
Here's a pic:
My motherboard is an MSI Z77A-G43
edit: wow I guess I've been looking at the image all wrong; how I have it is how it's supposed to be. Disregard thread.