All that thing does is insert a variable resistor in the lines supplying DC power to the fan. Then you can use its rotating knob to reduce the fan speed.
The real question to address is why your fan speed is too high? There could be any of several reasons.
1. It is not, but you just don't like the sound it makes. Fixing this MIGHT simply mean changing your expectations. Or it MIGHT mean replacing the fan with one designed to make less noise.
2. It may be running too fast, especially if it is running full speed all the time. For this, there are a few things to check.
(a) What type of fan is this? Does it have 3 wires coming from it ending in a connector with 3 holes, or is it a newer 4-pin fan with 4 wires and holes? IF it is a 3-pin fan, then the ONLY way for the mobo header to control its speed is to use Voltage Control Mode (aka DC Mode). By the way, you say, "CPU fan", so I am assuming that you mean specifically the fan that blows air on the main CPU chip to cool it, and NOT a fan that ventilates the whole case. The CPU cooling fan MUST be plugged into the mobo header called CPU_FAN. On a lot of current mobos, that header can use either DC Mode or PWM Mode to control its fan. Some of these claim to detect the fan type and adjust themselves automatically. But others are set by default to use PWM Mode, and allow you to change that manually to DC Mode if you choose. IF your fan actually is of the 3-pin type, then make sure the fan port is configured to use the DC Mode or Voltage Control Mode.
(b) Another configuration option for a lot of fan headers is to set it to maximum cooling. This does NOT use automatic fan speed control, but simply sets it to run full speed all the time. A related option is a Manual speed setting where you can specify a fixed fan speed (not necessarily full speed, but could be) which also does NOT use automatic control. Check whether one of these is set.
3. I have assumed that the fan is plugged into your mobo CPU_FAN header. Is it? Some people plug it into a Molex power output from the PSU instead, and that always runs the fan full speed.
4. You have not reported what the fan speed is, or what the CPU internal temperature reading is. Maybe the CPU really is running very hot and needs full fan speed to keep it from overheating. If that is what is going on, adding that Zalman product, or reducing the fan speed in any way, might allow the CPU to overheat and shut itself down to prevent permanent damage. So check that carefully before deciding the fan should run slower. IF the CPU is running very hot, you will need to investigate why.