Philippe,
I see that you are in Paris. Was your car originally built for French delivery? If so, the wiring may have been modified due to then-current French laws. On my car, the fog lights would light with the "running" lights (first position clockwise on light switch), but not with headlights (second position clockwise); this was a deliberate French modification.
If yours works this way let us know, and I'll try to reconstruct exactly what I had to do to make it work "correctly". (Basically, I had to remove an additional circuit added for the French market and connect a new wire to the light switch, but I can give you more detail if this is the problem.)
-David Pease
'66 French 230SL