The power connector for my DeepCool AIO is a 3pin connector. All of the fan headers on my motherboard has 4 pin headers. Where do I plug in this connector?

You can plug the 3 pin connector from the pump on any 4 pin fan header. The last pin will just not be occupied. There will be a small plastic guide on the fan header that makes sure that you slide the 3 pin connector on the first 3 pins.