What fan did you buy? It should have come with instructions.
I believe a GPU fan normally blows toward the GPU, although all of my current ones rather blow through it (HIS IceQ4 models). My old ASUS EAH3850 had its fan sitting in the middle of a radial heatsink, and drew air toward itself.
Connecting to a mobo fan header may not be a great idea, because any speed control will be based on the heat of something on the mobo, not the GPU. Monitor your GPU temps with something like Rivatuner (although it won't be able to adjust the fan) and make sure they stay ok. Or, use a 3-pin to Molex adapter and run the fan full speed off your PSU. Hopefully you bought a low or medium speed fan, as a high speed fan will howl at full speed.