try to eliminate both the cpu fan headers as well as the fan as the root cause of your problems.
first the fan headers: do other fans work on those headers (cpu_fan1 and 2)? if yes, then change your cpu cooler's fan. check the forum's components section as well as the web for good replacements (e.g. cm jetflo, spf120 somthing etc.).
also check for bent/broken pins on the header or any irregularities.
second the cpu fan: does it work on other headers?
did you get the connector polarities right during connection?
99% isn't 100% sure.
if you connect it properly, the fan connector will line up with the fan header's standoff and go all the way to the base of the header.
you can also check the fan by connecting it to the psu though a 3/4-pin-to-molex adapter and then connecting the molex to one of the molex connectors on the psu the fan should rotate at max. speed. the adapter would look something like this:
Cablematic MOLEX Power Cable 4P-M > PWM 4P-M (20cm)
http://www.amazon.co.uk/Cablematic-MOLEX-Power-Cable-4P-M/dp/B007KA426G
kenable Power Converter Cable 4 pin LP4 Molex Female to 3 pin Fan Adapter
http://www.amazon.co.uk/kenable-Power-Converter-Female-Adapter/dp/B003OSO0RY
Phobya 300mm 4 Pin Molex to 4 Pin PWM Sleeved Fan Cable
http://www.amazon.co.uk/Phobya-300mm-Molex-Sleeved-Cable/dp/B004X2XBMA
if the fan is faulty, get new ones.