Mine was exhibiting the same problem (filter light on, and no heat)
The sensor on mine was closed circuit (Ian is right, it's a right pig to get to, basically you have to take the whole front off the machine, and remove the top half of the internal drum surround)
Confused, I did a lot more dismantling (well it was enough pieces already ;))
Turned out to be a thermometer in the rear of the machine was on open circuit. If you remove the silver backplate, to access the heater element you will see 2 thermometers wired in series. It was one of these that had failed.
Simon
Simon MacArthur, June 2004