I have a new 3 speed fan switch with 4 wires: black, purple, gray and yellow how do I connect it? Help please...

What wires do you have in your ceiling box? What model and brand is the fan?

Knowing the brand is helpful or know which capacitors is best. Go to http://www.ceilingfanparts.com/images/pullchainsw.htm , they should be able to help