ok ive had a look at the haynes diagram. It seems like there is no relay, and that there is only one contact on the headlight switch for the dip beam, so we can assume thats working.
The output from the switch splits off into two fuses at the fusebox. F20 and F21 according to this manual. They then travel directly to the lamps from there. Looking at the diagram the headlight range motor takes its power from the dip beam power line, so check if that motor is working on the duff lamp before going any further.
If its not working, it would suggest the problem exists at the fusebox, or the wiring between the fuse box and the headlight.
If the motor is working, it would suggest the wiring between the back of the headlamp and the bulb itself is at fault.
Silly question but i'll ask anyway, when you check the fuses, did you swap the right and left ones over? sometimes they can have a hairline crack thats difficult to see visually. If you swap them you can see if the fault moves to the other side. Similarly with the bulbs, swap the main and dip bulbs over (or side to side if they're H4) incase theres a hairline fracture in the filament you cant see!