The first thing I did to find the problem with mine was check voltage at the plug in the boot that then goes to the foglight, that way you know if the bulb holder is ok.
When I didn't get anything there I went to the switch, and didn't get voltage at any of the pins.
Next I should have checked the relay but didn't have time so I cut all the wires off and started touching wires randomly. After making an earth off the steering column with a bit of speaker wire and popping 3 fuses I found the right combination and re-wired the whole switch.
So get a wiring diagram and check the earths. then the relay.
When checking wires don't forget to have the headlights on or the fog won't come on.
But be careful you don't overload the wires, also make sure the light for the fog is connected to the switched live so that comes on when the fogs come on.
The best thing you can do is get a 15 amp switch with a light on it (cheap of ebay), run a wire to the back of the car (to the fog) and put the other side on the headlight on, You can get a lower ampage switch and use a relay if you want (it's a good idea to).
This gives you a stylish switch and a working foglight.