I purchased a switch that will control my ceiling fan and its light. The switch has the following wires: 1 black, 1 red, 1 yellow, plus the green ground. The wall outlet has the following wires: 2 white, 2 black, plus the green ground. (Neither of the blacks are tagged) How do I connect these wires without burning my house down? Thanks.

Answer will be different for one switch or 2, I would Guess Black is hot, Red and Yellow
Are switch legs(light and fan)
All Greens go together and are not switched.
Black and white at receptacle is power in, and continuing on.
That is why I guess hot at switch is black.
On the fan, black is usually fan and blue or black/white is to light.

Strat gave some good advice but remember the obvious, shut off your breaker. The green on your switch should be grounded to your box if your box is grounded.

You said "hot at switch is black". That is my problem... I have two black wires at the switch and do not know which one is hot. Neither is marked in any way.

Do both wires terminate in the box? Turn your breaker back on and test. Bet one is hot and should go on the feed side of the switch and the other is not conducting current until you connect it to the other side of the switch.

Ok, the 4 switch wires, how were they connected before? I doubt you have enough wires to install the new switch.

I give up. I'll call an electrician.

I don't think you need to give up.

I am assuming the way it was connected before, the two whites were connected together, and the two blacks were connected to the switch? Am I correct?

Little $5 tester will tell which is hot.
Sounds like Fan may need to be removed, With breaker off, pull off fan, Hopefully you have conduit, pull black wire out and 2 wires in(Red and yellow or 2 blacks,anything but white or green)
If it is romex going to Light/Fan(only black white and green)You will need different control.
They make a wall control with receiver unit in fan canopythat will control fan/light separately, and they even have wireless remote.

Guys, sometimes the home owner gives up because we are talking about stuff he is not skilled enough to do. I'm 100% positive Strat and Ceiling could fix this but if Griff feels like giving up, maybe we should let it go.

Good one Ballenger!!
Griff, What'da find?