This is usually somewhere close to the CPU socket and labeled something like "CPU_FAN."
Once the cooler is installed, plug the CPU fan connector into its header on the motherboard. This is usually somewhere close to the CPU socket and labeled something like "CPU_FAN." If you have a larger cooler with two fans, you'll also need to plug in the second fan (usually on a nearby header labeled "CPU_AUX." And if you're installing a liquid AIO cooler, the pump also needs to get plugged in, with many boards offering a "CPU_PUMP" header connector as well.