Hello first Volvo here and new to wrenching on my own car..
I bought a 2001 s40 t1.9 and the low beam headlights have always just been on when the key is in position two never thought much of it until I wanted to get my fog lights working, the fuse isn't blown I changed the bulbs and no fog lights. Then the other night I was pulling into a parking spot and notice the little green light on the headlight switch **** was lit up, I had a feeling so I tried the front and rear fog lights and they worked.. Then when I got back in the car the light was gone and they didn't work anymore.. Maybe there's a loose wire in the dash? How easy is that to get at?

 

depends where you want to try looking. Given you suggested the connection to the key position, you may have an issue with the ignition switch. The headlight switch is pretty easy to remove (there's a little trick to how to press down then out to remove so google for that). Low beams also route through relays in the CEM (its the gray box with connectors under the dash over by the hood release). I'd start by checking those connectors.