2002 highbeam indicator...

Hi, I have a little problem which I have no idea were to start from, when I start the car and all the indicators light up i have a wonderful blue light that indicates the highbeams.. when all the light go out and I put my highbeams on however, the blue indicator does not come on...

Here is what I know so far..
1) The bulb in the cluster gage is not dead.
2) All my lights work so it can't be the switch (can it?)
3) All my interior lights work as well so it can't be a fuse that is magically separated from the DRL's fuse

My question is how do i fix it and were do i start?

My 97 Cavalier has the high-beam (blue) dash indicator lamp on all the time. When the regular headlights are on the high-beam dash lamp is still on, when i switch for high-beams the headlights go out completely but the blue lamp still stays on. Checked fuses on inside , didn't find one for the high-beam lamps though, Any ideas ?