does the 3 pin connector have a black, red and yellow wires? Yellow is typically used to read the rpm of the fan. Black is ground and the red positive voltage. The connector on the card only has ground and positive voltage. If you can, plug in the connector in a way that leaves the yellow wire unplugged while matching the black and red wires with gnd and + on the card. If the pin order is wrong, ie you cant just plug it in as is, you need to rearrange the wires on the plug to match. The wires are hold in place with small clips, use a really small screwdriver or a pin to release it and pull gently.
or, did you get some molex adapter with the cooler that you could use instead to plug it straight to the PSU?