[SOLVED] Case fans into PSU or Motherboard?

Solution
Whatever you do don't plug in both molex and 3-pin motherboard connector. You will burn up something if you do.

If you plug in to just the power supply you won't be able to change the speed. If you plug in to just the motherboard you can adjust the speed via voltage in motherboard bios.
 
Yes, they are giving you an option as to how/where to connect.
A 3 pin connection lets the motherboard sense the speed and control the speed via voltage adjustments.
A molex connection goes to the psu and the fan will always run at full speed.
It is unlikely that you have a motherboard with 5 3 pin ports.
It is possible to use a splitter on a port to run two fans but both will be controlled the same way.