The lights with the ceiling fan switch on when the switch is turned on but switch off soon after, What may be the cause?

... poor language skills...
If you re-state your question clearly, with some detail you are more likely
To get a response that's helpful...

I have a HAMPTON BAY Glendale Brushed Nickel Ceiling Fan- 52 inch
(http://www.homedepot.ca/product/glendale-brushed-nickel-ceiling-fan-52-inch/824623). Since yesterday, when I switch on the lights, they come on for a few seconds but turn off right away. The fan works fine. What may be the cause? Thanks

There are several possibilities:

Loose connection (light kit to fan's circuit)
Defective wall switch (opens the connection when it gets hot)
Thermal protection for the fan (I've never seen one though) The wattage of the bulbs is to high for the fan's thermal protection system.

Do the lighs come back on?

Thanks Don. I will try to check the wiring once again. It is a newly installed fan.The lights do not come back on, however, they switch on every time for a few seconds the switch is turned on. The fan is working fine so I think the switich is OK. Thanks

Did you do the install? If the light kit connection plug was not connected properly then the heat caused by a loose connection can cause the lights to cut off.