You will find that these fans have TWO cables coming out of them. One ends in a female (with holes) standard 4-pin fan MOTOR connector that plugs into a mobo fan header for power and speed control. The other ends in a wider female (with holes ) 3-pin ARGB connector to plug into a mobo Addressable RGB (aka ADDR RGB, ARGB, or Digital RGB) header on the mobo. This header looks like it had 4 pins, but one is missing. That supplies the power and control of the LIGHTS only in the fan frame.
Normally you need that ARGB 3-pin header for the lighting part. There is a similar but very different system that uses a FOUR-pin lighting header, and you must NOT connect to that. If your mobo does NOT have that header on it, then you will need a...