Check under the hood again. This time check the fog lamp relay as Mark suggested, rather than the fuse. The relay is located in the PDC as is the fuse. You can check the relay by swapping with a neighboring relay. Another way to see if the relay is at fault is to pull the relay and "jump" the two large lugs. With no relay and the jumper in place, the fogs should be on with both low and high beams as long as the head lamp switch is in the fog position.
Other than the fuse & relay, the only reasons the fogs can be out are problems with the switch, wiring, or both fog lamp filaments.