I mounted a Harbor Breeze Cheshire ceiling fan(hugger) and we can only run it on low or medium because the whole thing spins on high. You are suppose to be able to lock it in place, but I can't see how. It has a horseshoe shaped piece that you are suppose to use but I don't see it. Can someone help?

Remove Fan and check wiring. Wires can't handle much turning.
On some fans when set up for Flush, you remove three screws from top of fan,
And secure through canopy. You don't use the ball and post, if it is type I'm thinking of.
Have more info?
If it uses the ball, it will have a slot, where a protrusion is place to prevent turning?

I don't see how the whole fan assembly could be turning unless something is not properly attached. Check to make sure the motor and mounting bracket are properly seated, and check the outlet box as well. How are you mounting the fan?