Basically, due to the ammount of current flowing through your CPU, it generates an incredible ammount of heat over an extreemly small area. A processor like an intel I7 uses over 100 watts of power and dissipates nearly all (probably over 99%) of it as heat energy. Due to the physical behaviour of tempreature increasing resistance, it results in even more resistance, meaning more heat is produced (heat production than then increase exponentially).
Obviously this is of no use to us, the computer users as then we could not run MSN without a flame starting on our CPU. Thus the CPU has to be cooled. There are various methods of doing this (even no cooling at all in the case of "silent" PCs) but I will discuss the usual performance method of air cooling.
Basically, the air method of cooling transfers the heat energy being generated at the CPU into a metal heat sync with vast numbers of "fins" which are used to increase the rate of heat transfer into the air and thus away from the CPU. To speed this up, there is a fan attached to heat sync which blows or sucks air over the fins, The point of this is to keep the delta heat difference (difference in temperatures of the air and the heat sync) as great as possible as heat transfer occurs the fastest under these conditions. Without the fan, air around the heatsync would heat up to the same temperature as the heat sync and then no heat dissapation will occur (well there will be some hot air movement but not enough to keep it cool). The fans also help to channel the air out of the PC as if the air inside the PC heats up, heat transfer will reduce away from the CPU.
This being said, the heat actually must be transfered from the CPU to the heat sync in the first place, and at a fast rate too as the area the size of your thumb is producing 100 watts of heat energy every second. Just attaching the heat sync ontop of the CPU is not enough, as a layer of air will exist between the CPU and the heatsync causing the same effect as seen in double glazing (greatly reduces heat transfer rate). Inorder to stop this, a type of paste or some gell (do not ask me on what it is exactly) is put onto the CPU firstly and then the heatsync as place on top of that chemical which by doing so pushes out all air inbetween. The chemical is extreemly good at transfering heat unlike air, so without it the heatsync will not be used by the processor effectivly (as far as cooling it goes).
The second part is the motherboard fan rotation speed control based on CPU temperature. Inorder to save energy and extend the life of the CPU fan while keeping the life of the CPU the same, the fan's rotation rate varies based on CPU temperature. As the temperature of the CPU increases, the fan has to also increase in speed to compinsate and try and keep the temperature constant (this is hellishly complex as it uses prediction and exponetnial equations to set the fan speed so as to prevent heat runaway occuring (which if it occurs, the CPU must be shut down to cool or it will be permantly damaged)). If the fan does not respond correct to the CPU temperature then you will probably get the problem you are receiving.
This means eithor the heat transfer rate from the CPU to the heatsync is too little so the fan responses are too little to cool it at a certain temperature or the motherboard fan control system is defective and not responding to the CPU temperature correctly. It may also be the fan itself has a huge frictional force when rotating so it going slower than it should.
Any one of the above could cause the problem, and for a start I advise trying to go to your motherboard BIOS settings and setting fan speed to maximum to see if it makes a difference. If not then that limits it down to eithor the fan (which you can check by seeing if it is blowing hard or not), or the heat sync (probably the paste behind it).
If you have problems setting the FAN speed or it does not respond to changes in fan speed, then it may be the motherboard or fan.
Some motherboards let the fan be controled by the OS once it has loaded, so software might help (I know this is the case with graphic cards but not sure about actual CPU fans).