The three pin connection has a lead for power (+12), earth, and one where the fan can send back a RPM indication.  I believe usually red is voltage and yellow or white's RPM.  Just FYI now, I suppose, but maybe someone will read the archives and find it useful in 2037 when trying to get a 32-bit wide machine up and rnning before it's too late. :)

 

I've heard the header can burn out if you try and hook up too large of a fan; perhaps yours died cos the old fan shorted when it died.  I've heard it's a possible failure.