Most likely you have it wired wrong and you're shorting the fan out when you put it on high.
Basically, when it's in low the +12 volts goes through the resistor and then into the + input on the fan. When you it's on high, the +12 volts goes directly to the + input on the fan.
It sounds like when it's on high you're sending the +12 volts right to ground.
Another possibility occurs to me: where are you getting power from for the fan and how are you controlling it? With a relay or straight through a switch? What size fuse are you using?