The fan needs switched live as a signal to get it running i.e. as you operate the light switch with Permanent Live on one side of it and Switched Live on the other side of it - Switched Live makes the light come on - until such time as you throw the switch to off. The fan needs to know about the light being turned on and off.
When the fan "sees" switched live actually become live as you turn the light on it will begin to run. When you trun the light off the fan's timer will start to run and the fan will continue to operate still using permanent live as the power source until the timer times out and the fan stops.
One side of your switch (input side) is Permanent Live and the other side (output side) is Switched Live. These two together need to be routed to the fan as well as a Neutral.
In the UK Switched Live is often on a Black (or Blue if new wiring code) wire and may easily be mistaken as a Neutral. To overcome any doubt Switched Live must have an identifying sleeve of Red or Brown on it as a safety warning measure.
You should "pick up" the three connections you need to route to the fan from the most convenient place - usually at the ceiling.
Peccavi
February 2009