Power LED

Does anyone know where i can find a diagram or something to help me correctly hook up my power switch LED and HDD LED's to my motherboard?

You'll either find it written in your manual, or written on the motherboard.
Look in the corner of the motherboard, normally closest to where your LEDs are, and look for a collection of pins sticking up.
Look at the writing written at the base of them and you should see it written there :)

It is in the manual but it does not work when i hook it up like that?

Turn the connector around. Remember, LEDs are polarised, so turning them round usually does the trick :).