How is the fan wired? It will have red and black wires; red, black, and yellow; or red, black, yellow, and blue (or black, yellow, green, and blue).
Red and black is "power only". Fans like this are for applications where they are always on, usually wired into the power supply. Hooking one up to a motherboard fan header may not give you control of the fan, because it has no tachometer wire.
The yellow (sometimes white) wire goes to the tachometer. Case fans that are meant to be plugged into a motherboard fan controller are usually this style. This style allows the fan driver to sense and adjust the fan speed.
The blue wire is for PWM. When this kind of fan is connected to a matching 4-pin header, the fan driver can make rapid, fine adjustments of the fan speed. This is the usual style for CPU fans.
Bottom line, if you have a 3-wire fan, plug it into the motherboard. If you have a 2-wire fan, there's no use trying to control it from a software controller. Get a 3-wire fan instead.