Hi, have bought a fan/light thing and when I wired it up there were 3 cables each with the usual 3 Live,Neutral,Earth wires which I wired into the 1 connector on the fan/light in the appropriate hole. They were previously wired to an ordinary pendant. Now when I pull the cord thing the light is on, great, but the wall switch doesn't turn the fan/light off. Am I doing something wrong or is this just the way Fan/lights work?
Yes, you are doing something wrong - Earth to earth, neutral to neutral and the live for the fan/light should go to the live return from the switch and not the permanent live in the old ceiling rose.
Lighting is normally on a ring circuit - live, neutral an earth in - live, neutral and earth out and a live from the live terminals going to the switch and then back again to be connected to the fitting/light.
There are different variations, so if you are not sure ask an electrician to sort it for you.