I'm not sure what you've done since obviously I can't see it. But first, you set up a generator near the building, then you build a pylon between the two if the distance between the generator and the building exceeds the limit of a wire strand. Then you run a strand of wire from the generator to the pylon and from the pylon to a conduit attached to a spot close to whatever fixture, jukebox, etc...you want to power up. I'm not sure how close the conduit has to be. I know that for my exterior light fixture I put the conduit right next to it. For my juke box inside my shack I put in on the ceiling and actually ran the cable through my shack too the conduit inside. Not sure you even need to do that, but I did. You can also attached the wire to a switch first and then from the switch to the conduit so you can flip your lights on and off. I'm not sure if any of this helps you or not, but just keep experimenting and you'll figure it out.
There is a ton to learn in this game and only so much play time! I've played for 20 hrs and have done 4 side quests, no main quest, but about 15 hrs of settlement building in Sanctuary and I still don't know what I'm doing half the time.