I got my new comp yesterday (with Intel cpu), and when I switched it on It scared shit out of me. Processor fan wouldn't roll. I thought I was gonna fry my new cpu, but after around 5 min the fan started working slowly. After 2 mins. maybe it stopped again. I realised it starts working when I put load on the cpu. Is it some smart fan control or is my fan dying?

I can't remember the name of the program right now...but there is some Freeware out there that can easily check your CPU temperatures.

Using that you can see if the temperature levels ever get dangerously high..and if they do then you'll know something is not right.
But if it seems that it keeps stopping at a fixed temperature then it is likely some kind of control.

My 2 cents at least.

that freeware is called speed fan. from time to time i check temp in bios, and they are around 40 deg. celusius