Did you make sure your heatsink portion is connected to the correct CPU fan port on your mobo? (Normally the MAIN cpu sensor is on top right of the mobo)
And on the cpu fan cord coming off the heatsink there is 2 attachments to connect the 2 included fans.
And the CORSAIRLINK requires a free usb connector to work, if you use it you'll be able to see if your water pumps are working and rpms of the fan etc
Additionally did you remove the heatsink more then once? If so you'll need more heatsink paste.
Main thing I would worry about is getting CORSAIRLINK hooked up to see if the pumps are even running