You should have coming out of the ceiling ,White,Black, Red, and Ground.
Eather the Red or Black should be controled by a wall switch and the other hot all the time.The wire from the fan should be white for netural Black for the fan control, Blue for the Lights.you also should have a Green (ground).
You can wire it up any way you want. which ever you want the wall switch to control(usually the lite)....Hope this helps....Joe