I have an Emerson CF705AW
Ah.
A simple Capacitor based speed control. How many places do you have to put wires on your switch? You may have mis-wired the switch, or you have the wrong switch.
How it all works is... When you turn the fan to High, or position 1 on the switch (there's L 1 2 and 3) the power goes from 1, to the capacitor, but does not go through the capacitor, but instead goes through the second (probably gray) wire directly to the reversing switch in the switch housing. When you switch to medium (or 2) both 2 and 3 positions on the switch are supposed to be sending power through both capacitors inside of the black box. Basically, you have two capacitors, when you go to medium, both are wired in parallel to each other, but on low, only one is in the circuit. Basically, the switch you have, or have mis-wired, is putting only one capacitor in the circuit at the time on medium and low positions.
Also, do not worry, so long as you only mess with these 4 wires, you cannot blow anything up, However! When you disconnect power from the fan, BE SURE that the fan is "On" when you turn the power off to ensure the capacitor discharges as you can get a very very nasty shock from the bare wires.