when you increase the fan speed, can you hear the fan not only increase in sound, but also feel more air coming out of all the ducts? was just wondering if you have the ducts closed (in the '0' position instead of the 'I' position).
has it ever put out heat? how new is this car to you?
does this car have a dial next to the two center vents that can move from hot (red dot) to cold (blue dot)? if it does, move this dial towards the red dot and see if you feel heat after it warms up.
also, does it have climate control? you should be able to increase and decrease the temp (and see the number visually change) by pressing the up or down button.
there may also be a button with a snowflake on it. its for the air conditioner. it can be kept on in the winter as it will blow dry air, but you will need to make sure the temp selected is in the upper 70s for heat. i usually dont run the a/c in the winter unless i have to defrost the windshield.
good luck.