I just puchased a harbor breeze ceiling fan w/ 2 lights. I have 4 wires(black,white.red and grd) out of ceiling box. The fan has blk, what, blue, and ground. Connected blk to blk, what to what, grd to grd, and red to blue. Have power to the fan from wall control to turn on/of and change speeds, but the lights, which are to turn on/off at the pull chain on the fan don't work. Do I combine the red, blue and what wires to make the fan and light work?
Need to get this done and I need your help. Thanks.

What was there before the fan and how was it wired? How many wall switches are they, where are they and what type?

Ceiling fan wiring - Ceiling Fans N More (http://www.ceiling-fans-n-more.com/ceiling-fan-wiring.php)