I am trying to hook up a 3 speed ceiling fan with light. When I use the on/off switch the light and fan both go on, but I cannot control the speed of the fan. What am I doing wrong

Did this fan come with a remote control unit?

Check the fan instructions, usually there are pull chains mounted to the fan that allow you to work the fan and light independent of each other as long as the wall switch remains "ON"

I echo Don's question. If it's not a remote fan, then the pullchains control the speeds.

http://www.ceiling-fans-n-more.com/ceiling-fan-wiring.php