The short screws pass through the panel that the fan is mounted to, and screw into the frame of the fan itself. The long ones pass through the fan and screw into the panel that the fan is mounted to (or into a nut behind it).
So, if you want to insert a screw from one side of a panel into a fan on the other side, and the panel has unthreaded holes, use the short screws. This will almost always be what you want.