The fog lights (relay contact side) are protected by Fuse 3 in the power distribution box under the hood, and by fuse 6 in the panel under the dash. The coil side is fed by the headlight switch (black wire w/ yellow stripe). There are two fog light relays because the headlight dimmer switch is also involved. It defeats the fog light circuit when the lights are on bright, so check that your headlights are on dim; that might be your problem.
Edit: The two fog light relays are not in the power distro box with the rest of the relays. Online info says they're mounted under the dash behind the radio.