We have installed a Harbor breeze ceiling fan, we followed the directions as far as we know. The fan works, but the lights do not. What do we do now??

If it has pull chain, Do you hear distintive click? may be bad pull switch.
At ceiling, from fan should have three wires(not counting ground)
White is good(Fan works)Fan is usually black, and light is usually blue or black/white.
Tie light wire momentarily to fan wire. Test

Stratmando: Thanks for the reply. The problem was the blue wire. It was the first ceiling fan my 17 yr. old son has ever put up, and he just didn't connect the blue wire to the black wire correctly. He ended up taking all the wires apart more than once. On the 3rd try, we were elated, because the lights and fan worked properly.