All exterior lights are controlled by the light control module (LKM); there are no individual fuses.
Check wiring and grounds. There is a big ground shoe on the right side of the engine compartment.
BTW, I believe you are referring to the parking lights.
Ed in San Jose '97 540i 6 speed aspensilber over aubergine leather. Build date 3/97. Golden Gate Chapter BMW CCA Nr 62319.