This is caused by a faulty earth in a connector in the passenger footwell. It will probably be accompanied by the lights turning on when you select the fan on.
It's a 5 minute fix, involving cutting the earth on either side of the connector and soldering in a patch lead. The connector is under the glove box on the passenger side, you will need to remove the cover there. It's quite easy to spot the connector.
Matt Hooks, November 2010