If you have one switch controlling both loads, then it would appear that you may have a hot wire mixed up with a switch leg somewhere. If these are the only 3 wires that you have coming into the box, they are probably the hot wire (carries the current to the switch), and two switch leg (feeds the current to the connected loads). I highly recommend getting an electronic tester before attempting to wire this device, so you can properly identify the hot wire, which makes the rest of the wiring simpler. The hot wire should be attached to one of the brass screws on the device. There should be a little metal tab in between the two brass screws, which should remain intact. The black screws opposite of the brass screws correspond to the adjacent switches. Each switch leg that comes down from the lighting fixture should be attached to one of those screws.
Without knowing which wire is which, I can't provide much more detail. The color of the wires doesn't dictate their use, so I think you should get a voltmeter if you don't already have one.