I had the same problem real easy fix
The thermal fuse is at the rear behind the oven.
First remove the rear panels, you will need to take the middle cover off first then you can take off the lower rear panel, as its the left side (looking from the back) you will have no problems with the mains connector as its on the other side.
Once the rear panel is off you need to look for a brown wire, at some point on the wire you see some red or black rubber heat shrink. Remove the heat shrink by sliding off to one side or just cut it. now the thermal fuse is exposed its only a small thing and you can get a replacment from MAPLIN part no:RA23A, its only 79p!
Idealy you should crimp or solder it in if not use chok block and cover it in insulating tape.
Rocket Rob
November 2010