What do I need to mount devices with threaded round holes in a server rack with square holes?

Are you looking for cage nuts?

Cage nuts is the proper English term.

Be warned: They come in several sizes so you need to buy bolts of the same size too !.
It's common practice to throw away the screws/bolts that come with the equipment and use your own in stead. That way you are certain you got the right bolt/nut combination.

You usually buy them in bags of 100 pieces. (Either nuts or bolts.)

There are also plastic washers available. They prevent spontaneous loosening of the bolts if the rack is subject to vibrating (which is usually the case with all those hard-drives and fan's). (Again: Make sure they are the right size for the bolts.)

The bolts are available with Philips heads or with the regular heads for flat screw-drivers. Most people prefer the Philips version as the screw-driver will not as easily slip of the head, making for easier screwing/unscrewing.

Another nice thing to have is a cage-nut puller.

This is a specially formed piece of metal that you can use to insert/extract the nut from the rack without cutting you fingers to shreds. You sometimes get one for free with a bag of cage-nuts. (They are hard to come by otherwise.)