On my 2003 F150 all my dash lights work with the exception of the lights around my heater controls, (fan, temperature, mode). Are these on a separate fuse or just a bulb in dash somewhere?

 

Sounds like just a bad lamp. All the dash lights are on the same circuit. There's quite a bit of trim you have to remove to get to the control panel screws so you can remove it and replace the lamps. Try YouTube for a instruction Video. Good luck.