Greetings!

I recently purchased a 2003 Pontiac Sunfire. The fog lights are not working. So far, I have checked the fuse visually, and swapped it out with a known good fuse. Also, when I press the rocker arm switch, it lights up, as if they are on. I don't hear a relay anywhere, and from searches on the internet, I don't even know if it has a relay, but I would assume that it does.
Another thing I don't know, is *how* to change the lamps out. The owners manual says to check with my dealer.
In essence, I need to know if it has a relay, and where it's located, and how to change the lamps out. Can anybody help? Thanks!