Problem with first build.

Ok so I've started off to my first build and everything seemed ok so far until I i powered it on. Everything seems likes it running, fans, cud hear the hdds except the cpu fan. I double checked everything and everything thats suppose to plugin is in. Maybe my cpu isn't compatible with my mobo?

Specs: Asus P5DL2-VM LGA 775 motherboard
Cpu: Pentuim D 2.2ghz FSb 800
Zotac geforce gt 430
Thermaltake 430 psu
2gb ram DDR2
150gb Sata HD pulled from windows xp pc.

Mind anyone telling me whats wrong or any info? I don't feel like RMa ing anything so any information would be helul. Thanks.

Ps i've spent well over an hour looking at other threads and not finding what i need.