If by 4-pin you mean that it looks like a connector that would plug into a hard drive or CD/DVD drive, except that it has a male connection, you can use those same "drive" plugs to connect your fan. Just plug one of the 4-pin connectors from your power supply (also known as a molex connector) into the male connector for your fan.
It does seem odd that the included fan uses the 4-pin connector. Was this a retail boxed processor, and has anyone had this experience with retail boxed processors recently? All I've known to be bundled with processors these days are fans with 3-pin plugs.
Unfortunately, to the best of my knowledge, using a 4-pin connector loses you sensor capabilities, meaning you won't be able to detect the RPMs through any common means (i.e. BIOS, software), not that I am aware of any other means personally.
I hope this helps.