Since the indicator light on the dashboard does not illuminate, the problem is not a short circuit leading to a blown fuse. The foglights are on separate circuits, when the button is pushed in, a signal is sent to the cluster computer to illuminate the dashboard, and a second remote signal is sent to the relay to close the foglight circuit too.
The problem is either:
a) Foglight relay (From memory, I believe it is K47, located in your fuse box. K47 should be in the middle row of relays, second or third from the front of the car). The headlight relay (K48) might have the same pin configuration as the foglight relay.. if it does, you can try swapping them to see if this solves your problem. Of course your headlights should stop working then.
b) the foglight switch is blown, or the plug in the back is loose.