No there are not any internal fuses for the lamps, its very unusual for there to be any fault on the lighting switchgear, if you have a pcb type control instead of rotary knobs then it could be the faulty lamp short circuited in its brass threaded section and blew the pcb, I have had that once before. Before any drastic measures make sure the bulbs are screwed right home to make good contact. Cheers
Kenjo, May 2013