As I said, you needed to be connected to the 4 PIN CPU header. Using the 3 pin system fan (Case fan) header would not work properly nor would using a three pin connector on a 4 pin pulse width modulation CPU header. It will get power but the power would not be controllable using PWM since the 3 pin can be controlled only using voltage regulation and is not supported on the 4 pin header. Glad you got it worked out though. In the future and for any future builds, keep in mind that PWM or Pulse width modulation is the better option for controlling fans precisely.
It doesn't require changing the amount of voltage to control fan speed as some fan headers, especially on older systems, are designed for. It keeps voltage steady but rapidly turns the voltage on and off at a specified duty cycle to increase or decrease speed. If you have a board capable of controlling using PWM that's probably what you want to use in almost all cases. This also applies to case fans, not just CPU coolers. There are a lot of aging cases that have 4 pin Molex (Like the IDE power connectors that connect to older CD and DVD drives) connectors delivering power to fans which only allows for full speed operation too. It's definitely not very efficient and if you have a three pin or a four pin motherboard connector, you generally want to use a fan that has a similar connector.