Try the other 3 pins on the fan? You can fit three of them on the header at a time, make sure you try it both ways. If that still doesn't work, try using a 3 pin case fan.
Bios's are setup to not allow the machine to boot if there isn't a fan attached to the CPU header. This prevents you from destroying your CPU if the fan dies.
actually, my motherboard allows me to boot without a fan attached to the cpu header (since I watercool) I didn't change any settings..
the 4th pin is for pwn fans meaning the motherboard can read rpm's of the fan, increasing/decreasing speed with the variances in the cpu temperature..
if you dont mind your fan running at 100% speed, you can just plug 3 pins in.. if your computer is not booting, maybe you've plugged it into the wrong place.. around the cpu socket, you can sometimes find a fan header for a fan for the northbridge or RAM cooler..