Thank, Blissz.
I did it. So I have connected it to all 4 pins, so, the connection is okay. Just it doesn't start.
Did try both fans on my computer - works perfectly, RPM control does work.

I guess, probably, I need change some setups in the General Properties and then connect it?

So, you, guys, just plug it into FAN1 and FAN2 socket and it has worked?