Brushless setups are crazy!!
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the ESC is plugged into a receiver and the transmitter is turned on, the fan on the ESC should spin when the ESC is turned on for a short period of time until the ESC gets a valid signal from the ESC then it turns off. It will not come on again unless the ESC goes over 150 degrees internal temperature.
If the fan does not come on make sure its plug is secure by unplugging and replugging it into its socket.