The first thing you need to do is verify if the fuse is good. Don't just look at it, but remove it and measure it with an ohmmeter, or if you can access the metal contacts, then check that 12 volts is measured on each side of the fuse as Dr. Dyno suggested.
The next most common problem is a defective resistor pack. The symptom of this problem is that the fan will always run on the highest speed setting.
Another problem could be a defective HTR Relay. or the relay not operating for a number of other reasons. This can be proven by removing the relay from it's socket, and then placing a jumper wire into the socket to bypass the missing relay.
If the blower doesn't run with the jumper inserted then the problem is probably a defective blower motor.
We can provide more details on each step of the diagnosis when you eliminate the easiest and most common causes first.