Can you clarify a bit - How's it behaving when everything's "plugged in"? If you turn the spindle on manually or issuing m3 in the mdi what happens? what happens if you issue m7 with (and without) the spindle on? What about m8? And then what happens if you issue m5 and m9 to stop the spindle and coolant?
The setup is pretty simple and straight-forward. Basically in ports and pins you configure an output to control one of the pins of your breakout board (whichever one is controlling your coolant pump). Then under spindle setup (in ports and pins) you put your output number in the box for controlling m7 or m8. When you issue the command mach3 sends a signal to that port, which operates a relay that supplies power to the coolant pump.
It sounds like you have a problem with that setup, specifically it sounds like you have the wrong output operating the coolant, or maybe you have spindle relays enabled on the same page with the same port.
If that's not it then likely there's something wrong with the wiring, specifically I'd look for a shared relay between the coolant and spindle, but if your setup is anything like mine that won't be the case.