make sure you are pulling the light knob out 2 clicks. the first click gets the fog lights/tail lights come on and the second click turns the headlights on. the other fuse box is behind the glove box. it took me a while to realize it was there. just undo the strap holding the glove box in and remove it to get to the fuses. if its not that, i would suggest checking the connection of the headlights. if all else fails, take it to auto zone or pep boys and see if the headlights are just burnt out and replace them.
hope this helps