I would double check the instructions and wiring, just to make sure. Next a lot of times problems are ground issues.
Finally I would disconnect the power wire from the switch and try to illuminate the lights with a jumper wire from a separate 12v source that can handle the amperage load of the lights.
As said above, check that the lights will come on when directly connected to 12 volt, be sure to have a ground wire also. If they come on, next check to see if you have 12 volts to the switch, turn switch to on position and check to see if you have 12 volts out of the switch. Have headlights on low beam when doing this.