To get your RGB LEDs working, you either need:
1. MoBo that has RGB header where you can plug your fans into.
2. RGB LED controller.
I have the very same MoBo in my Haswell build (full specs with pics in my sig) and i can tell you for sure that MSI Z97 Gaming 5 MoBo doesn't have RGB header for fans/LEDs. Your only option is buying RGB splitter and RGB controller,
RGB splitter: http://www.cmstore.eu/cooling/1-to-3-rgb-trident-splitter-cable/
RGB controller: http://www.cmstore.eu/cooling/accessories/cooler-master-wired-rgb-controller-c10l/
Not to critique on your case choice but the Cooler Master H500P is very poor choice in terms of airflow. While the case does look good, it's the only positive side about it. In everything else, Cooler Master failed with this case. Though, Cooler Master has since trying to redeem itself by releasing Cooler Master H500P Mesh edition of this case which considerably improves the very restricted airflow of stock H500P case.
H500P video review:
https://www.youtube.com/watch?v=HRsb4C5gLLc
H500P Mesh video review: https://www.youtube.com/watch?v=bswzX4RoXSk