It doesn't have a 'special name', it is colloquially known as 'a four pin fan connector' or '3.5" drive power connector', and comes in both 'male' and 'female' versions. The male being the one generally on the board or the device, while the female is generally attached to the PSU.
No doubt Molex will have a catalogue number for it (or several for different styles), but personally I have never referred to it, or had it referred to, as anything other than either of the above.
Chris.
Indifference will be the downfall of mankind, but who cares?
Time flies like an arrow, however, fruit flies like a banana.
Never mind this jesus character, stars had to die for me to live.