How did you check for power? The switch only provides the power for the relay, not power to the lights. The circuit works like this:
Positive wire goes from a fuse(check owners manual for which fuse) to the Fog Lamp Relay, then to the lights. This is the path that your lights get their power from.
A second circuit goes through the same fuse to the headlamp switch, then to the dimmer switch(high/lo beams) then to the fog lamp switch, then to the coil side of the relay. So when you switch your fog lights on, you are actually switching the relay. And they only work on low beam. If your headlights work on both high and lo beam, then you are either not getting power for the dimmer switch, or your relay is not working properly.
Since you said you are not getting voltage to the switch, you may hav a bad wire going from the dimmer switch to the fog lights. To isolate that problem, your best bet is to find the fog light relay and energize it by jumping it to the battery. Should be a blue wire.
All this is assuming you have some electrical knowledge and a little mechanical know-how. If you are unsure, DO NOT attempt to apply voltage to anything. You will fry your wiring harness.