Assuming everything else works in the headlamp assembly and you haven't gotten two freaked out lamps (what are the odds of that?), I'd start by inspecting the wires and sockets. Be sure the connections aren't fouled. I'd also make a couple jumper wires from a few $ worth of parts at radio shack and see if jumping the ground turns the lamp on (i.e, ground the jumper wire, then insert the other end into the correct speace in the connector). (Of course, you've got the key on and the light switch on for this test.)

Send me your email address and I'll send you the 850 wiring diagram for lights.
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(98 S70 T5SE misc mods, mostly lighting) (92 940GLE)