I've made 3 trys at writing the diagnostic's for figuring out what and where your problem is, but hit some button or another on my laptop and the entire message dissappears, so I'll just forward a simplified and accurate diagram of the wiring related to the cirucuits in question, and tell you that the fuse #1 should be blown, but neither the glove-box lamp nor the entrance light lamp (under the dash) should be blown when the lights stop working.
The failure is caused most probably by a short circuit between the battery positive terminal and the fuse #1 or between fuse #1 and the lamps in question.... most probably and likely the latter. If the car starts normally (starter motor turns over) then the short's between fuse #1 and one of the switches at the lamps --- either of the door switches, the manual entrance lamp switch, or the glove-box switch.
To rule out the side entrance lamp side of the circuit having the short to ground, close both doors (which opens both door switches), and close the glove box (opening the glove box switch). Now manually turn on the entrance lamp switch --- sticking out of the entrance lamp itself. If the entrance lamp stays lit then one of the circuit's can be ruled out of contributing to the short.
Next, turn off the manual entrance lamp switch, and open the right door... if the entrance lamp lights, and stays lit, then that circuit and one other can be ruled out as having a short.
Next, close the right door and open the left door. If the entrance lamp lights and stays lit, then that circuit isn't shorted.
If all the above worked as expected, then the short's been isolated to a single circuit between the clock terminal and the glove-box switch or between the switch and the lamp itself. You can probably find the short at or near the switch terminal or between the switch and the lamp's positive side.
In any event, first insure that the fuse #1 is an 8 amp fuse and not larger... and that it's not blow or that you've replaced it before you start the above sequence. By the way, fuse #1 is furthest fuse nearest the center of the car... furthest from the driver side fender.
Here's the wiring diagram you need...
Download Attachment: WiringDiagr1.jpg81.32 KB
Longtooth
67 250SL US #113-043-10-002163
'02 SL500 Sport