It definitely sounds more like a bulb; if it was a fuse, all the radio lights would be out. It really isn't that logical (at least to me) to have a fuse for every bulb for the radio cuz that probably would be a lot of fuses. You can check them anyway, (assuming the 99 location is the same as the 97) one fuse panel there is a cover on the bottom of the center console on the passenger side, the other under the hood. Check if anything is blown and replace it. I have never dealt with the saturn radio personally (always used aftermarket stuff) the faceplate probably comes off somehow; get a haynes manual or a chiltons manual for $10-$20 and they'll show ya how.