My partner has an identical problem, so you could do what I did, which was:-
Remove and check headlight bulbs, in my case the 2 filaments looked OK.
Next I identified the dipped headlight relay in the fusebox by the battery and swapped it for the main beam relay next to it. The main beam worked and it is an identical relay. In my case this did not fix the problem.
My conclusion is that the switch on the steering column must be faulty in my case, so that's a trip to Ford main dealers on Monday!
With a bit of luck you may find it's the bulbs or relay, which are much cheaper than the column switch
MahadevDave, December 2007