Could be a relay, check for other items that may have gone, if it is a bad connection in the fuse box with the relay then the new one may have blown or may just not bemaking good contact.

Find you fuse box with the relays, you didn't say which car you own, fiesta , escort????

Now have the ignition on and headlights switched on, press and giggle all the relays and see if the lights come on at all, also check for any melting or corrotion on any of the relay connectors.

My fieesta had this problem and the relays are under the dash driverside, drop the fuse box down to gain access, the escort has a case in the engine bay driverside back.

Matt