My pc build is going horribly wrong

This is my first pc build and it’s going pretty bad. Here are the problems:

1. Everything is connected but when I short the motherboard pins or use the power button the pc doesn’t turn on. Sometimes it turns on but only for a few seconds then stops working again

2. I need help with some cables. I need to connect these to my motherboard but there are no spaces for it. Please tell me what adapters I need. I want to connect:

A Corsair commander pro Corsair hd 120’s Cooler master ml240l

My motherboard is a gigabyte ga-b85m-d3h

Please help me. I don’t know what to do. I know the 3 pin thing is for fans but there’s this weird 4 pin thing on my motherboard that I have no idea about l. Please help me.