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 must download (or find on a CD disk with the mobo) the software utility called Polychrome Sync, and install and run that. It is how you power and control those lights from your keyboard.