Wall switch box has two black wires and two white wires(spliced. New switch has black wire, red wire(light),yellow wire(fan), and green wire(ground). I think I need an independent wire for the fan and light. How?

An additional wire needs to be added from the wall switch box to the light outlet box to act as the switch leg for the fan, leaving the existing for the light.

Assuming the existing wiring method is cable, this can be done by replacing the existing two wire cable with 3 wire, plus ground, or by adding another two wire cable.

If the wiring method happens to be conduit, one wire can be added.

This is probably more work than you figured after bringing home the fan light. There is no short cut to solve this issue.

You could add a wireless receiver for separate Light and Fan Control with existing wiring.

Oops, sorry ,there is that shortcut.

Electricians do not normally think of "wireless". Leaves a bad taste in my mouth when I say it.