if you have power in the red wire, try jumping it to the headlight wire itself, at the switch. (remove the switch, and jump the wires) it's entirely possible to buy a brand new, piece of junk switch, that doesn't work. if you start at the hot wire at the switch, and work your way forward with the headlight wires, you'll find the problem quickly. there's nothing extra in the way of this, except for passing through the bulkhead.

i replaced my switch back in january, for the same problem. advance gave me a bad switch. vato-zone gave me a good one.