My guess is the multifunction (dimmer switch), On the steering column, with the headlights on, see if you have power on the light green wire (input). If so, see if you have power on the violet/white wire (low beam output) or red/orange wire (high beam output). If not, replace the multifunction switch.
Oh, also check fuse #10 (30 amp) in the power distribution center under the hood.
BTW..power to the fog light relay is fed by the black/yellow wire from the headlamp switch. These colors are from a 1999 FSM, but should be the same as yours.