What is this tiny screw?
That looks very much like a PC fan mounting screw. They typically go through the thin sheet metal of the computer case, then self-tap into the plastic mounting holes in the fan housing.
If you don't have any spares lying around (OK, I guess not everyone is a computer geek with piles of spare parts and mountains of spare screws - I'm on a 27-step program to cut back...), pull one out of your current desktop computer and compare it. If it is a match, either order some from someplace like Newegg or Amazon, or just order a replacement fan sized to fit your computer (they do die eventually, so having a spare won't hurt) and canabilize the screws from it. When your fan dies in the computer, you'll have the spare on hand and can reuse the screws to mount the new one.