On my heat pump, a small 3 amp fuse is located on the side of the quick disconnect plug that connects the transformer + and - wire to the main controller board. You cannot see the fuse unless you pull the plug off the contoller board.

Sniffdog is correct. Sounds like the low voltage fuse or the transformer is DOA. Easy way to check is pop your thermostat off and touch the red & green wire together. If everything is ok with the furnace, the fan should kick in. If it does, your problem is else where. If it doesn't kick in, you can check to see if you do indeed have a 3-5 amp fuse inside your indoor unit control panel. If you don't then more than likely you have blown the transformer by wiring the thermostat incorrectly.

*** I highly suggest calling a service tech as this is HIGH VOLTAGE your dealing with and it can be deadly****

Hope this helps