I have installed a new ceiling fan and the lights do not work but the fan does.what have I done wrong?

Do you have 1 or 2 switches controlling the ceiling box? If 1 box, connect the black fan and (usually) blue wire to the hot wire, white to white and ground to ground screw. Make sure the light connector plug is seated so that the locking clip is engaged, they are usually color coded for positioning. If you have 2 switches, you will have, or should have, a black, red, white and ground-you may have 2 blacks. The first room switch should be to the light, the second the fan. Black to light, red(or black) to blue, white to white and ground to ground screw. If you are using a remote, you only need 1 hot wire, the remote handles all other function. Make sure you depress and hold the light button, it may be off.