Check to be sure that the wires aren't touching inside the fog light housing. Remove the black cap where the bulb is housed, and check those wires. Test everything with the housing off where you can verify no wires are touching.
Yes, happened to me too. It's easy to have the protective covers of the terminals inside the cap come loose and create a short by allowing wires to touch. Take the cap off, ensure the terminals are properly protected and no wires are crossed, replace the fuse and hopefully you're good to go.