(a merger of the former right-centre Progressive Conservative Party and far-right Canadian Alliance) won more seats than the other parties. However, they did not win more than all other parties combined, which means that they have a minority government. In such a parliamentary system, the Prime Minister is the leader of the party who won the most seats, although his party may still be a minority in parliament.
There is now talk of a coalition government between the left-centre Liberal Party and the left New Democratic Party. Together, these two parties still would not have more seats than the Conservative Party, but with the support of the Quebec-only Bloc Québécois, they could be given the chance to govern.
There is some talk on the news and on forums that such a move would be undemocratic since the Conservative Party was elected and has a clear mandate from the people. What do Canadians want? Here are the data from the recent election (via Wikipedia).
(I don't know why it insists on putting the table so far down the page.)
|Conservative Party of Canada||Right||143||5,208,796||37.65%|
|Liberal Party of Canada||Left-centre||77||3,633,185||26.26%|
|New Democratic Party||Left||37||2,515,561||18.18%|
|Green Party||Far left||0||937,613||6.78%|
|Liberal + NDP + Green||Left||114||7,086,359||51.22%|