I currently have a very basic thermostat connected on my Harman coal stove which has only 2 wires for connection (red,white). I want to connect a programmable thermostat, but when I connect the wires to the programmable the stove constantly stays on high and won't shut down. The programmable is a honeywell model RTH221

Is your coal stove a millivolt system?

Where did you connect the wires on the Honeywell thermostat?

I'm not sure if it is a millivolt or not, the last thermostat was a basic Honeywell wich worked. I have one red and one white wire, which I attached to the w and RH on the programmable. I tried removing the jumper between rh and rc but still had the same results

The jumper won't make a difference. Pull the batteries on the stat and start over. Can you program it without connecting it? If so, do that then check the continuity between Rh and W when it's not calling for heat, and when it is calling for heat. If it's not calling for heat and the contacts are closed, the stat is bad. (you'll need an ohm meter)