OK! The fan installed on the cpu heatsink must be connected to the motherboard. Otherwise the system will not work. There should be a tiny connection somewhere near the cpu. It may be labelled as "cpu_fan" or something similar. Manufactuers don't always use the same nomenclature.
Please check you motherboard and your motherboard manual for the location of the connector on the motherboard. manuals usually have a diagram showing the location of fan and other connections.
You can also connect case fans to the motherboard. The connections are usually labelled as case_fan1, case_fan2 or chassis_fan1, chassis_fan2 and so on.