CPU Fan Wont Spin

[stumpy187]

Hi i got all my pc parts this morning
Western Digital Caviar SE16 320GB 3200KS SATA-II 16MB Cache - OEM
OCZ ModStream 520w ATX2.2 Power Supply
GeIL 1GB (2x512MB) PC6400C5 800MHz Value DDR2 Dual Channel Kit (GX21GB6400DC)
AMD Athlon 64 X2 Dual Core 3800+ 2.00GHz (Socket AM2) - Retail
BFG GeForce 7600 GT OC 256MB GDDR3 TV-Out/Dual DVI (PCI-Express) - Retail
Asus M2N4-SLI (Socket AM2) PCI-Express DDR2 Motherboard

ive put everything in my case except i was a little concerned that when installing my heatsink and fan it was a block with 3 holes but the socket has 4 pins,i thought meh it might work so i proceeded tried to power up but the cpu fan wasnt spinning it got to the system checks stage and i got a "WARNING CPU Fan Speed Too Low or Failed".
What should i do next?

 

[pcAnywhere]

Not sure about the old 3 vs 4 holes - never seen an AM2 set-up but have you connected the fan power lead to the CPU_Fan header?

 

[LoadsaMoney]

Maybe its like the Conroes and you have to go into the BIOS to change the fan speed to a different setting or something so that it spins all the time, could be set to start to spin when the CPU gets to a certain temperature, some sort of Cool and Quiet setting.