yup. windows will take a little bit longer to load (this is windows detecting and installing all the new hardware), and it may ask for a few drivers that windows couldnt find when it's done. you can just pop in the win2k cd, or the cd that came with the hardware in question. shouldnt be too much of a problem.
edit:
to answer your second question: look at the fan, and it should have the amperage rating written on the fan (usually written "XX.X amps"). multiply that number by 12, and you will get the wattage rating. then look up the wattage rating of the fan headers. im pretty sure its something like 3 or 4 watts, but make sure. as long as the wattage requirements of the fan is less than the wattage rating of the header, then you will be fine. just to be on the safeside, however, i would use the 4 pin connector, like Brian said.