[Build Ready] Where do i plug in my 3-4 pin adapters?

Basically, im totally lost as to what to do with the seperate ends of the adapter. Theres a 3 pin adapter(this goes into the motherboard?) and the other (molex is it?) Seems to go into the PSU from my research but i need to be sure.

This is the cable im refering to: http://imgur.com/2OL5Uws

Edit: i totally forgot there was a simple questions meta thread that this question was more apprioprate for, sorry guys.