The fan has two cables from it. One is for the motor only and plugs into the mobo CPU_FAN header - you've done that already. the other wider one has 4 holes in it, and one of those (on one end) is marked as the +12 VDC power supply line. This is for a plain RGB light system, not the more complex ARGB system that uses a 3-pin connector. IF you have such a header on you r mobo, that is where you plug it in. Then you use the software utility provided with your mobo to control the lights in the fan. You have not told us what mobo you have - maker and exact model number. Give us that and we can look up its details and give you precise guidance.
IF your mobo has no such header to use, the cooler system comes with a small 3-button manual control box, a connector adapter, and a cable to allow you to connect to a PSU power output and control the lights manually.