In the diagram of the first link, its shows you (Arduino pin2) where to connect the sense wire.
This allows you to read the RPM of the fan, you then use this to control an arduino PWM output pin to an FET transistor to control the speed of the fan motor.
Theres loads of tutorials on how to drive a motor with an FET, heres just one of them
tutorials
http://bildr.org/2012/03/rfp30n06le-arduino/
For your four pin fan you can ignore the (Control) Blue wire connection.