wouldn't hurt to check the fuse or relay associated with it first. also, unplug it and check with a voltmeter to see if you have voltage at the plug with it in on position. always a good idea to check before you start replacing parts, but carland is likely right.
You can also run a jumper wire from the battery to see if it runs unhooked from its connector.
Test the blower motor to see if it works first like mikeatpriestlake suggests, if it does work then usually it would be the blower motor resistor that has gone bad.