Since you "just hooked it up to the switch", I assume there were only two wires going from the fan box to the switch box -- probably a black/white pair. Another black/white pair should have brought power from the panel to the fan box. The black wire from the panel (the "hot" wire) should have carried current via the black wire to the switch, where it was switched on and off to the white wire (which should have been marked with black paint or tape). Back in the fan box, the white wire from the panel (the "neutral") should have been connected to one of the fan wires, and the white wire from the switch box (which also should have been marked with black paint or tape) should have been connected to the other fan wire. The complete circuit is then hot from the panel, through the switch, through the fan, and return to the panel via the neutral.
Now we introduce the double switch. If you look at the switch terminals, one side of the switch will have two black screws in 2 brass strips connected by a small tab, the other side will have two brass screws in two separate brass strips, each obviously associated with one of the individual switches. The black wire from the fan box should be connected to one of the black screws, and the white wire (which should have been marked with black paint or tape) should be connected to one of the screws on the other side of the switch. Notice that the black ("hot") wire from the fan box is now actually feeding both switches, via the little tab connecting the two halves of the brass strip -- the 2nd switch is all dressed up with no place to go, i.e., nothing's connected to it.
Now to connect the light, you've somehow got to get a wire from the other separate screw on the switch to one side of the light, and the other side of the light to the white neutral wire from the panel in the fan box. How you do this is up to you, but in new construction I'd run a three-wire cable from the fan box to the switchbox (one "hot", 2 switched) and another 2-wire cable from the fan box to the light box (one switched, one neutral).
Draw some pictures and it might make sense. Of course if any of my initial assumptions is wrong, none of this works. If that's the case, do what Frenchie suggested and draw us a picture, or describe what's going on in all 3 boxes (fan, switch, and light) in detail.