There are 2 bulbs in the switch.  One to light up the switch icon when the headlights are on, and one that is on to indicate the fog lights are on.  The bulbs are type #74.  The bulb that lights up the icon has a blue "rubber" over it to color the light blue.  You need to take the rubber off the burnt out bulb and put it on the new one.  It's not as difficult as it seems at first.

Be careful when you are taking it apart.  It is spring loaded and parts will fly everywhere.  You should end up with the upper housing, the lower housing, a plastic block, a ball bering, 2 springs and a metal contact.  The order they go together in is shown below.