Rotary switch has Black, Red and Blue wires. Each lamp has 2 white wires.

You need to find what wire is hot and that goes to the main switch lead. Then the hot light leads go back to the switch wires, neutrals remain unbroken. Even though there are 2 white wires for each light, one must be a conductor. However, you may have to dissect all the wiring to get the combo you want. How do you want the lights to work, some on and then all on?

Thanks. I can get them all to come on, but the switch never turns them off. From the lights, I have all of the white ribbed wires together, going back to the white/neutral on the power cord (bypassing the switch). I have 3 remaining wires from the lamps, but only a blue and red from the switch. I also have the black from the switch, going to the black on the power cord (not toward the lamps)