No great mystery here, pull the fuse out, if it is burned or blown replace it. If not put it back in.
In the Car
The diagram for the fuse box should be in the fuse box or the cars manual. If it is not in either of these places the manufactures site should have one for download or a repair manual can be purchased with it in it.
Not all gas stations stock replacement fuses for a Jetta. Fuses are mostly universal for most vehicles, but the right amp of fuse must be put in to replace the burned out fuse. A person would have a better chance of finding replacement fuses for any vehicle at a truck stop.
fusess at compressor
Try AllData.com
WHEN YOU OPEN THE DRIVER SIDE DOOR THERE IS A PANEL. OPEN THE PANEL AND THERE ARE ALL YOUR FUSES
if the doors do not lock then one of the fuses is out!
the flasher fuse is in the fuse block look in your owners manual under fuses
Your owner's manual is the best place to find out location and identification of fuses. If the fuses check out ok, its probably a burnt bulb. See sources and related links for bulb information.
Have you checked the fuses? The location of the fusebox will be listed in your owners manual. The manual should also have a diagram of the box - which fuses control what, etc. Then find the bad fuse and replace it.
The 1997 VW Jetta turn signal relay switch can be found beneath the driver's side dashboard. You can get to the turn signal relay switch by simply looking above the brake pedal.
fuse panel to the left of the steering wheel. the diagram for the fuses is in the original car manual in your glovebox, which tells you the exact position in there. I believe its a 30 amp.