no ignorance.... the question is on you... if you don't know what to expect, tell us what you read and we can go from there. You should read voltage (ie. the input voltage) which is then switched to the various terminals to operate the system. My guess is you are missing a ground somewhere.
You should also note that most would check the wiring before connecting things up to make sure they understand what is going where. Going by just the a "wiring color" is likely to not work well as "codes" in this area are somewhat "lax".
So you should make sure you have voltage on the Red since this is the input voltage for the system. It is then switched to say the fan, the furnace,... etc when those items are expected to operate (actually the voltage does not operate those items but operates a relay which then operates the item).
Further, not knowing the specifics about your particular control box / system and your understanding of electricity, IF you only used 4 wires at the thermostat, did you only connect the 4 wires at the control box? What did you do with other wiring at the control box... IF some / all of those are left unconnected / unplugged / cut, then you are for sure missing a ground among other things. I hope this isn't what is happening (ie. cut the other wiring at the control box)... :-(