Ok how many slots on the fan connector and how many pins on the mobo? If one is 3 and the other 4, either turn the connector around or move it up one pin. Also the larger cooler fans don't come on asap, they take a bit of time for the thermo sensor to kick them in. Make sure you check you mobo manual to ensure your looking at the right connector.
Dont worry. The default bios setting is probably cool n' quiet or whatever and the cpu isnt hot enough to start it spinning. Go into bios and set fan control to disabled if you want it to spin at full speed.