You'll have to trace back through the circuit to see where you lose power to the circuit.
Fuses are the obvious first check (Not quite sure what you mean by "there does not seem to be a fuse holder in the slot where it should be ") - Check all fuses to be sure.
Then eliminate all possibilities section by section (sorry if these seem obvious/basic, but its difficult to know what you have and haven't done), i.e.
Do the other lights work ok - is there any combined faults which need to be considered - remember the fog lights will only come on with the sidelights.
Check the switch operates (i.e. continuity changes when pressed)
Confirm there is no power to the circuit (at switch and rear fog lights)
Check the earth points near the dash.
Check continuity over each length of wire to see where the failure/break has occurred - it sounds like the fault will be close to the dash (as you say the light doesn't light come on with the dash switch).
iirc the wire's change colour as they go from section - section, which made the fault finding a little more challenging
I had the same problem and ended up replacing the majority of the wiring from the dash back to the lights. Its an easy find / fix when you know where to start. I've a copy of the Electical manual which was invaluable for this, but alas I don't have it to hand! (Currently in Montreal, Ca).
I'm sure someone else will chime in shortly to assist further...
Hope this helps.