Why don't my low beam lights work?

My low beam lights don't work, the problem is not with the bulbs. I have a 2003 Pontiac Sunfire, the high beam lights work but the low beams don't. We have replaced the bulbs but that wasn't the problem. When I put the car in gear, I hear a clicking sound and then the service light comes on. If I put the high beams on before I put it in gear, there is no clicking or service light, as soon as I turn them off, I get the clicking and the service light comes on. The fuses are all fine. How can I fix this?