Okay, I got the majority of it hooked up tonight. I have one question that neither manual nor online forum can solve so far. I have 5 or so built in fans in my case. To use those fans I connected them to a power supply. Each fan has a 3 pin female port (smaller size indicates it goes into the motherboard), that if I only had one fan it would connect directly into the motherboard, but I have 5. Any ideas?
I also have a 4 pin female connection (same smaller size for the motherboard) from the power supply and that is on the cable that supplies power to each fan. I don't know what that 4 pin female connection goes to on the motherboard. What is it and where does it go?

Case fans can be hooked up either to the motherboard or directly to the power supply. A motherboard will usually have 3-4 connections for fans (check the manual to locate them), then any additional fans need to be hooked up directly to the PSU.
As for the small 4-pin connector I'm not sure what it goes to (might be for a fan that requires a 4-pin connection, or a legacy connection for floppy drive). Don't hook it up to anything unless you know what it goes to. Power supplies will typically come with more connections than you actually use; just work from the motherboard, hooking up whatever needs to be hooked up to it, then just leave whatever cables are left over disconnected. The worst that happens this way is that the system doesn't work, you find what needed to be plugged in, and all is good, while when hooking up cables that shouldn't be hooked up you can actually end up frying things.

I got everything together and turned it on, works fine for now. I have one major problem though I checked my CPU temps in the bios and it is currently at 84 degrees C. My guess is that it is a bad connection between the cooler and the cpu. I am going to try again later. Poast any suggestions you guys may have.

84 C is really hot, even with a heatsink that isn't seated quite right. Things to try are re-seating the heatsink, and also scraping off the massive glob of shit thermal grease that comes on all stock Intel heatsinks and replace it with something like Arctic Silver (you only need a small amount, too much actually slows down heat transfer). It's also possible that the BIOS is simply giving you erroneous readings; I've seen this happen several times, typically when the BIOS version doesn't specifically support the processor you have. To check this look on the motherboard manufacturer's website and see what processors are supported by which BIOS versions, and compare that to the BIOS version you have. If this is the problem then the only way to fix it is to reflash the BIOS, which is always a rather nerve-wracking proposition (as any interruption or error in this process will brick your mobo).
So first check the heatsink seating and deal with that if it's the problem. If it turns out to be erroneous readings and you're reasonably confident that your CPU isn't actually overheating then I'd recommend just ignoring the readings and not worrying about it (as tracking down the source of the issue and fixing it can be more of a hassle than the problem itself).

I checked the heatsink and it had one peg not quite seated correctly, so it was an easy fix. I now have the proper drivers installed and now am moving onto programs. The CPU now reads 38 C at idle, which is not too bad. I will stress test it tomorrow. :)
PS My laptop was able to maintain temps of 94 C without an auto shutdown for about 2 hours. No permanent damage to be seen. It was amazing. :-P

Glad to hear it ended up being an easy fix. And an idle temp of 38 C is quite good, especially with that 130 W beast of a CPU.

I must say, water cooling is a wonderful thing.

I tested it last night by installing Crysis and cranking everything to very high and turning up the resolution to max. It worked with NO stutters or slow downs. I was really really surprised. I did the same thing with Mirrors Edge and Left 4 Dead, both kept steady framerates above 60 fps. The hottest it ever got was a cool 63 C. :D

Yeah, first game I ran after I put in my lovely GTX 295 or whatever it is was Crysis. Even with my obsolete dual-core proc, it was damn smooth on high.

Congrats on getting your first build all put together. Good to hear that everything is working well together and giving the kind of performance that should be expected given the components. I'd expect that machine should serve you well for a least 3-4 years before any kind of upgrades or a rebuild is required in order to keep running the newest software.