I just put in my new Thermalright Ultra-120 and have yet to turn my computer on (still need to put in my new fans).
I have a couple of questions:
I fitted in the Thermalright Ultra-120 the exact way the manual told me to do so, put the backing plate and took out my motherboard, etc, however when I push it (not too firmly) it feels quite loose. I'm 100% sure I tied in the screws as good as possible but it still moves around a bit, is this a problem?
When I put the motherboard back in, it may be paranoia, but I always feel as if I have forgotten to plug something back in, if I have forgotten something, will I get a warning telling me what it is when I turn on the computer?
Finally, the fan I put onto my Ultra-120 only had a 3-pin connector, is it right to plug that into the CPU fan 4-pin socket on the motherboard or do I just plug it into a regular 3-pin fan socket?
I'm worried.. <_<

Sigh, just turned on my PC and it wont boot.. light on the motherboard is on but it wont boot! What do I do now..?

Also, another quick question:
There is a grey lead, appears to be coming out of the CD/DVD drive and I can't find where to plug it, it has four small square slots on the end of it.
Finally, am I right in thinking that the fan on the Ultra-120 is meant to be blowing into it, or is it meant to be blowing away from it?

Sigh, just turned on my PC and it wont boot.. light on the motherboard is on but it wont boot! What do I do now..?

I won't guess on that HSF plug as I haven't owned one and know others here have and can answer without guessing. As to direction, you want the fan blowing through the fins, and toward the back of your case where an exhaust fan is.
The cable coming out of the optical drive sounds like an analog audio cable. Since virtually everything supports digital audio now, you almost certainly don't need it, even though there is likely a header on your mobo or sound card for it. Plugging it in won't hurt anything.

If you forgot to plug something in, look at the wall to your left (not the one behind you). That's where the edge of the crater will be . j/k

Thanks for the help. Can anyone answer my remaining questions? (post 1)

You can plug the 3 pin plug into the 4pin on the board, Works fine on my Zalman

Sigh, just turned on my PC and it wont boot.. light on the motherboard is on but it wont boot! What do I do now..?

I just tested taking one RAM stick out at a time and it still wont boot..

Did you plug the fan into the CPU fan header on the MB? I think you have to at least start this way, cause most MB's default so that if no fan is plugged into the CPU fan header they won’t boot in fear of overheating the CPU. I think it's a bios setting where you can disable this if you are not going to use the CPU fan (water cooling). How loose is the cooler? It has to be tight enough to make contact with the CPU.