The CPU Fan is small a fan which cools the main processor. (CPU = Central Processing Unit.)
CPU get very hot and will destroy themselves if not kept cool. This is why your PC is protecting the CPU. It is telling you that the fan is not working and that the CPU will break if it does not turn your PC off.
Might just be worth checking if your fan is clogged with dust, rather than broken. A new fan is not a lot of money, but you will need to research what is needed for your processor.
Paul, March 2005