The fog lights will not throw a code, however, you can check the engine codes by turning the ignition on off on off on quickly. Do not start it. Codes will display in the odo.
As stated above check for votage working your way back to the switch.
The Multi-function Switch (MFS) is a known problem child, so it is most likely your problem. If it turns out to be your MFS, you can either buy a new one, or you can install on old style fog light switch in the dash.