I connected the light kit quick connect, to fan, white to white and blue to black and the lights do not work. It did not seem to connect any other way. Have I missed a step? I have lost the instructions.

At top of fan under canopy should be 4 wires. Green to green, white to white, Black is fan,
And blue(or black/white) for light. That need to connect with fan wire, with switch leg or constant live(control with pull chain)

Strat is correct, make sure the blue wire is connected in the fan canopy.

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