Davegod:
Erm, i hate to say it (well, not really, but anyhow), but unplugging and turning it on isnt going to help you discharge much (if any) power...
With the capacitors in power supplies, they hold power for a *LONG* time... I've seen people zapped (rather painfully too i might add) after doing all that you said, and after leaving the PC off for a few days.
CinderElmo:
I've replaced the fan in a few different PS's, just clipping the wires half way, splicing, soldering, and using some electrical tape (not the best thing, but it was all that was on hand) to wrap each one seperately...
just make sure that you clip each wire (red/black) about 2-3 CM (or more if possible) away from where you clipped the other (as in position on the cable) that will practically garuntee that you wont get any shorts etc.