On my C class, the fog lights will stay on with the high beams, but the fog lights and high beams are housed in the same unit. As far as I know, on the W210 the fog lights turn off with the high beams, but the fog lights are in the bumper on that vehicle.

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Ali Al-Chalabi

2001 CLK55
1999 Dodge Ram 2500 Cummins Diesel
2002 Harley-Davidson Fatboy
Merlin Extralight w/ Campy Record