Starting from the top,
CCFL would be cold cathodes they use an inverter to change the 12V input from your PSU into a much higher voltage. An inverter should come with the CCFL you buy.
A Molex connector is a 4 pin plug (the same as the one that powers your HDD and CD-ROM) you will need a spare one in order to power a case fan unless you use the 3-pin motherboard fan connector, (I would stick to a molex if I were you).
To power lots of fans you could either buy a fan controller or you could buy a Y cable if you are short of molex's (a Y connector simply splits one molex connector into two, these are normally less than £1).
Hope that helps
Pentium 4 2.8 with M0 stepping.
Only air cooling tho