Connector...
Follow the wiring away from the headlights till you come to a plug. Check that plug and make sure the pins are still in the plug or thats its still connected. I had this problem a while back.
Quoted from B. G. Smith: The wire at the headlight switch that triggers the fog light relay is brown with a yellow stripe, from the relay it is light blue. The wire from the fuse to the fog lights is red with orange stripe.
I checked the wire coming out of the back of the headlight switch, hooked the end of the test lead to the positive side of the battery & probed into the wire. I had just bought a new switch from Oreilleys and thought it might be the problem. Turned out to be the plug under the front bumper.
Hope this info can help you.
Craig