I know this is like 4 years later, but im saying this to people searching for the same thing!...
If you have checked the bulbs, fuse, relay etc..and the fog lights still do not work, it is most likely to be a broken wire on the stalk, it will be the WHITE wire, this breaks off due to the stresses of using the indicator stalk repeatadly, moving up and down...
To access this, unscrew 3 screws from under the steering wheel ((on the facia panel)) and pull it off, this will also release the top panel...from there you should be able to see whether the wire has broken.
If it has broken, remove the stalk, by unscrewing the 2 silver star headed screws, and the stalk should slide out. either replace it, or solder the wire back to the connection point.
Hopefully, this will solve your problem!
Danny Gifted, October 2010