That fan will have two cables: one ending in a female fan connector about 3/8" wide with 4 holes and two ridges running down one side, for the fan motor; and another wider one with 4 holes, too, for the lights in the fan frame. The LIGHTS cable must go to your mobo's plain RGB header. The mobo has one each of a plain RGB header with FOUR pins, and an ARGB header with THREE pins. They are side-by-side on the bottom edge just to the rear of centre. NOTE that the 4-pin header you must use has labels beside it, and one of the END ones is for 12 VDC. Note also that the female connector from your fan lights has a mark on it to identify the hole for the 12 VDC line. These MUST be matched up when you plug in.
When you connect this way you also...