Do you have the fan connected to the mobo or to the case fan leads? If the latter, remove the right-side panel (as you're facing the front of the case) and make sure that all the connectors are firmly seated, and that the four-pin molex power connector is firmly connected at your PSU and at the other end. (If you didn't connect a power cable, you'll need to.)
Last, check the fan lead connection to your front panel, as it's very easy to loosen it or disconnect it during assembly. If you follow the fan leads back to the back of the front panel I/O board, it should be the left-most plug as you're looking towards the front of the case from behind. You should be able to get a finger or two in there to make sure it's firmly seated.