Well here's my chance to pass the buck. I had this same exact issue. High beams and everything else worked, just no head lights. It's a ***** but here's what you have to do.
It's one of two things, the combination (multi function) switch (the switch to activate windshield wipers, hazards, turn signals, etc), or it's the round knob you pull out to activate park lights, or headlights. Regardless of what it is, here is what you have to do. I am a bit long winded, so bare with me.
You need to first open up the dashboard. Do this by taking the ash tray out and then taking off the bracket that holds it in. From here you need to take the trim off which is held in with clips. You can either squeeze this out, or you can take the steering wheel off too. You'll also need to remove the radio which is a bit annoying. I actually bent the frame holding it in and then bent it back into place after as I lack the proper tool. Disconnect the wires you see behind buttons like the 4x4 and rear wiper/defrost.
Now once you've removed the frame proceed to unscrew the switch that you pull to activate headlights, or park lights. I recommend doing this one first as it's a rather cheap part (and you can always return it), unless you know how to work a circuit tester (didn't do me much good). Unplug the wires, put the new one in; you don't even have to screw it back into place to try it out. I doubt this one is your issues as it wasn't mine, but also keep in mind that there is a little button on the device you need to push in order to disengage the knob and replace the mounting bracket.
Now on to the multi function switch, which I'm pretty damn sure is your problem. I recommend ordering this one used off ebay, as getting a new one can be pricey. I actually got one from a Ford Ranger because it was the cheapest. Hell depending on where you live, you can find a junk yard where you pull the part yourself and it is substantially cheaper (Harry's in PA for example). Anyway, this will require you to take the steering column apart. If you don't know how ask me, it's easy. After that simply unscrew the two screws holding the switch in and pull the wires out. Replace with the new one and reassemble everything.
Let me know if this helps, or if there is anything you need me to elaborate on. I'd say the job is an hour tops.
