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Does the yellow led on the switch light up? Take a multimeter and check for DC voltage on the harness for the switch. You should get roughly 12VDC. The harnesses for the foglights are obviously getting power if they come on with the key fob, so my guess would be either the switch itself is bad (which would probably be the case if you're getting voltage at the switch harness) or a bad relay. Either way, it shouldn't be hard or expensive to fix. Good luck. I know this is a pain in the rear. I'm helping a friend restore an older M3 that had major electrical problems -- much easier to do with the interior gutted