Just got my computer!

Just got my computer in yesterday and finally got everything hooked up pretty excited!

Again, here's my specs

P8P67 Deluxe
i7 2600k 3.4 ghz
8GB DS Ram
MSI GTX 580
Noctua 12
1gb Caviar
1200AX Corsair
HAF X

Alright so here's some questions;

When you get the computer is the side fan never connected?
Mine wasn't.. if so I'm curious how they "stress tested" it without this fan hooked up. (it was still tied up in tie wrap as if never undone)
I had to pull out the bottom 3 HDD brackets and at the very back was a female end of the similar 4 prong plug which I had to pull out with some force because it was behind a panel and connected it to that and it's finally up and running now. I looked through the binder and it didn't mention me having to do this upon receipt.

On the case (HAF X) there's a "fan led" button
What does that do? Because no led's turn on when I press/depress it unless I had to specify that to DS to do that or I'm suppose to connect that myself as well (order a LED fan and have them hook it up)

How do you check your overclock speed? I didn't get a spec sheet with the oc numbers like some of you guys posted. When I do msinfo32 (start menu) it just says 3.4ghz. Do I have to download another program to see the actual clock speed?

Last, is there a guide for "new computer to do list" so I wont have to ask these questions haha.. Thanks in advance!