The first thing I would do is install iStat (its a widget you can find on the apple website). Using this app, look at the temperatures of the components in your computer. If anything jumps out as being out of the ordinary then you should take your computer the the apple store and explain the issue.
Another thing to remember is that the fan will usually stay on for the entire time, although it should not be spinning at a high rate unless the computer is getting very hot. As such, if the fan is spinning at a moderate rate then there is no problem at hand. If indeed the fan is spinning at a high rate continuously, even when the computer is cool (or as soon as it starts up) then there may be a problem with your fan.
More details would help me to analyze the problem a little better. Does the fan spin violently loud? Are there any clicking noises coming from the fan? Does it stay at one continuous spinning rate, or does it change? And one of the biggest tests is, let the computer sit with the power off for several hours. Ensure the computer is cool and in an area at normal room temp. Power up the computer and look at how fast the fans are spinning. If they are spinning at a high rate (above 10,000 rpm) and they consistently stay at that rate, then there may be a problem with the hardware...
I have seen this question answered before but can't find it in the archives. Almost immediately after starting to use the laptop the fan starts running and doesn't quit until you put it back to sleep or turn it off. Any ideas on why this is happening and is it harmful to the computer in the long run?