Welcome, Newcomer. There could be several things wrong. First thing to try is to remove the heatsink fan completely. Now install a different fan, but make sure it's the same size. After installing a different fan on to the heatsink, fire up that bad boy and see if the problem still exists. If it does, continue...
The next thing you might want to try is breadboarding. Breadboarding is when you build the system outside of the case. You do this to rule out any case shorts.
1. Disconnect all wires/cables except for the heatsink fan.
2. Remove all connected hardware, except for the heatsink/cpu.
3. Remove mobo.
4. Put mobo on a non-conductive surface (phonebook, wood, etc)
5. Install ONE stick of RAM.
6. Connect the PSU to the mobo (both the P1 and CPU connectors).
7. Jump the PWR_SW pins on the mobo with a flathead screwdriver.
Now power on the system again. Does the heatsink fan spin properly?