Usually a GPU with its fan on full speed is because the system is not posting, it can be a faulty board, ram, CPU etc. If its not posting the GPU does not know the temperature and does not slow the fan down to a safe level, that's how it works on older cards.
Of course it can be the GPU as it seems to be in this case, but usually it is not.
I had a broken ATI gpu once from ebay for about a 10er on the off chance it worked and all it did was spin fan full speed with no screen come up. So it was defiantly the gpu in that case.
Thanks for all your answers!. As you can see in my signature, I replaced finally my GPU and PSU. Everything else is working fine, except for the USB ports, that they dont work well. You need to plug the pendrive (only pendrives work) before turning on the system for the system to recognize them :(