plug the fan into one of the molex connectors on the power supply that worked with another fan. if the fan still does not spin then its the fan (read below). if it spins up then try a working fan and plug it into the molex you put the "bad" fan on before. if it does not spin up then its a problem with the psu.
---
if its the fan...
either a bad fan or most likely a bad connection. when being assembled perhaps the wires were not crimped correctly or perhaps they were not soldered onto the motor correctly. if its a large (greater than 120mm) fan you can contact them for a replacement but if its medium sized or smaller you might be able to get a replacement locally for $5 and save the hassle of shipping. for something as cheap as a fan they should either provide shipping or just ship you out another one no questions asked. well, if they have a good customer service division that is.
to plug it into your motherboard you would have to get an adapter or put a new end on the fan (assuming it has a molex now due to your description). it does not really matter as when the fan gets power it should start up.