The electrical starts at the ceiling, the fan being wired directly to that. The wire for the light is connected to the ceiling power, then to the switch and back up, so you can switch the light without switching the ceiling fan. You apparantly have the light connected directly to the power at the ceiling.
Remove the switch plate from the wall and you should see the red wire you mentioned. The power comes from the ceiling to the switch, then back up via that red wire. If so, that's the one your light should be connected to.
Let us know how it goes.