I've connected a light kit to my ceiling fan and it does not work. I've connected to white and black wires from the light kit to the white and blue wires from to fan. I've also check the wires from the ceiling and the red is connected to blue and the black is I believe connected to the 'power box'. The light swith on my wall controls power to the outlets in my wall and the fan is powered by a 4 speed switch next to the outlet switch. What am I doing wrong?

Does the wall switch have a light control capability?

I am going to start by assuming there is no remote for this fan so stop me if I am wrong. The fact that you have a red wire in the ceiling box tells me you very likely have a seconf switch somewhere that feds power to this box. Dio you have a double switch or is there a seond switch on a nother wall nearby