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Your codes would be in the DIC (Driver Information Center) above the steering wheel inside the instrument cluster.
Sounds like you may have a short. I'm not sure if that will throw a code to tell you or not.
Are you sure you tried new bulbs, if so, check that same new bulb in one of the other sockets and see if it works there. If it does you know something is wrong with the wiring or the socket you were concerned about to begin with. You might try wiggling some wires around a bit or being sure the socket isn't corroded. Another thing is to be sure the bulb is seated firmly in the socket. It may go down and snap, but not be all the way in. This will cause it to do exaclty what you are saying.
Use a sock or a towel to hold the bulb so that if you push to hard and it breaks it won't cut your hand. wiggle it back and fourth a little as you are pushing and this may ease it up a little
I'll check the fuse, I had already removed the new bulb replaced it, however did not try it in the left side sockets, which both do work. Also, i had wiggle wire, etc...