Building a new PC, question

I’ve bought this:
Asus M2NPV-MX Micro ATX motherboard socket AM2
Geforce 7600GS 512 mb
AMD Athlon Dual Core 4200+ 2,2 ghz

On the motherboard there is two fan connectors, one is called CPU_FAN and the other one is called CHA1_FAN.
CPU_FAN fits for a 4-pin and CHA1_FAN fits for a 3-pin.
I guess its called CPU_FAN cause im supposed to connect my CPU Fan to it doh
But problem is:
My AMD Athlon fan cable has only 3 pins. why? And where should i connect it?
I tried connect it to CHA1_FAN and it works, but a warning comes up on boot that nothing is connected to the CPU_FAN. But this warning can be disabled in the setups, but is that OK?