Confirm first that your bulbs are OK. (I once spent HOURS troubleshooting a no-high-beam problem, including changing switches, fuses, wires, sockets -- only to find that both bulbs had failed.)

Check for voltage at the hi-lo relay.

Suspect the "bulb out" sensor -- it's known for introducing head-scratchers like this -- and I think it's in the low-beam circuit (but maybe not...).

Be sure you're checking the correct fuse. Haynes can be tricky on wiring issues.

Wiring harness connectors around and to the headlights can vex. Check 'em out. Clean and grease them (vaseline works well).

Get yourself a schematic for the 240 -- it makes hands-on troubleshooting much easier. If you choose Haynes, be sure the manual has your car (some issues of Haynes have a "generallized" schematic), and keep in mind that many (of the correct) circuits for the US cars are appended at the end of the schematic. For example, the circuit for the fuel pump relay shown in the main schematic does NOT apply to North American Volvos. And this drives people nuts. The correct circuit is on the next page.

If you decide to buy official Volvo manuals, prepare for (a) the best service manuals available, and (b) $$$.
--
Don Foster (near Cape Cod, MA)