|There's probably nothing wrong. |
High end games use the cpu and the graphics adapters chipset (it's a CARD only if it's on a board in a mboard slot) more intensely - there's a greater load on both that heats them up some. The fan on either may speed up for a while, then spin slower once whatever has cooled to below some threshold temp.
You usually cannot change the behavior of the cpu fan.
With some video cards, you can change the default speed at which the fan runs in the video settings so that it's running faster normally - the fan may not then spin even faster when the video chipset gets hotter as often or for as long.
If the noise bothers you, you can get aftermarket video and cpu fans that are quieter, cool better and/or are larger and spin slower.
Or you could add a case fan - the larger it is, the less the noise.
The load of high end games can also make the power supply fan(s) spin faster in the same manner, if the speed of the fan(s) is(are) temp controlled. You can't change that behavior, unless the PS has a control on the back that can change the default speed of one fan, and the fan was running slower, you make it run faster.
Mung on the fan or the heatsink it cools can cause the fan to overheat easier.
If this is a desktop computer, you could open up the case and make sure there's not too much accumulated mung (dust, lint, etc.) on the cpu or video fan or the heatsink under it. If there IS too much mung on it, DO NOT use a vacuum cleaner to clean it off.
The same applies to the PS fan(s).