Your three Red wires all need to connect to one another and to nothing else - one is Live coming in - One is Live going out to the other lamps - One is live going off to the switch.
The lamp does not get connected to Permanent Live - Permanent Live goes to the switch and Switched Live comes back from the switch and connects to the lamp - so that you can turn the light on and off.
The Switched Live wire is often coloured Black and will have (should have) a marker or sleeve on it to indicate its function - i.e. Switched Live - Potentially Dangerous - Not a Neutral.
http://www.flameport.com/electric/lighting_circuits/lighting_ceiling_rose_other_colours.cs4
An electrician will soon sort it out for you.
Good luck... Take care...
Peccavi
January 2010
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