The BLUE wire is for a light. The red is the "traveler" and the black is power.
Did you use the blue wire without a light? If you did, you wired it hot, full time.

The Westinghouse 77020 switch functions as follows:

Position ' Connections
1) L+2+3
2) L+1+3
3) L+1+2
4) L+1+2+3

The correct functions of a 3-speed fan switch, or at least in the case of a Hunter
ceiling fan, are as follows:

Position ' Connections
1) L+1
2) L+2+3
3) L+3
4) L

So either you can buy a different switch from a different manufacturer, or you can do like I did & modify the Westinghouse switch by opening it, removing the #3 connection, & shaving down the plastic housing underneath the metal contacts for the #3 wire. The reason you do this is so you can get that connection to sit as low in the housing as the terminal marked L. Then you must modify the piece in the center. It has 3 long brass terminals & one short one. Now remove the plastic barrel inside the brass terminals. Using a pair of dikes, cut the small tab off. Hold the terminal piece so it looks like a "C" & cut the top & the side terminals down halfway. Now just put it back together wiring it as follows:

L = GREEN
1 = GRAY
2 = BROWN
3 = BLACK
It should now work if done correctly.