If you want the case fans to light up, you don't need to hook up your monitor and cd and everything else, just hook up the fans and lights to the psu, and there are two wires in the psu power connector (where you would connect it to the mobo), that you can connect with a bent paper clip that will make the connection for you and you can see your lights. I would suggest searching on the net for which ones it would be since I can't remember right off.
I would suggest waiting til you have at least a cpu, mobo, ram, vid card in tho before playing around to see the pretty lights in your case.