This is a common problem on 97-00 MY trucks, regardless of the trim level ( XL, XLT, Lariat ).
If you install the fog lamp fuse in the BJB ( aka Battery Junction Box, Engine Compartment fuse panel ) Fuse # 9 ( 15 A fuse ) and jumper the normally open contacts in the fog lamp relay socket ( see diagram below ) the fog lamps should illuminate ( to confirm what you have doing on ).
The problem usually is the main headlamp switch to the BJB is not in place ( this is the yellow wire from the main headlamp switch connector to the relay socket pin #1 ).
One easy route is to make an aux lighting relay & harness, or purchase one online. With this, you can cut the factory ends and attach them to the harness you purchased. There is an air inlet next to where the steering wheel column runs through the firewall. This would give you an easy route to the fog lamp switch. The fog lamp switch, you can buy the factory one, and change the yellow wire from the connector to your added relay, or just add a switch for this function.
This will give you an idea of what the DIY relay and harness would look like.
Hope this helps, more than confuses at this point