First of all, make sure it is all inserted correctly. I'm sure you have already.
Try putting the memory in two sticks at a time, and see if any of the sticks don't work. If they all work, then it'll be because you're filling the slots in the wrong order. In which case there's three options (in order of preference): insert the RAM before putting the cooler on (assuming that it is the cooler blocking the installation, rather than the RAM being too high to fit under the cooler), buy some RAM that isn't too high to fit under it, or buy a different cooler that has more RAM clearance.