For those of us who had the "factory" fog light option, it was actually an aftermarket Hella kit that was installed at the port of entry before the vehicles made their way to the dealerships. As you can see from 19963.4lsr5's picture, they cut out a portion of the lower bumper valence to make room for the fogs. They also included a metal angle bracket that the lights were actually mounted to, which was bolted to some existing holes on the back side of the metal bumper. If you don't have the factory option you'll need to run new wiring, do some kind of modification to the valence (if you want your fogs down there), and fabricate or drill actual mounting locations for your lights.
Here are some pictures of the mounting system for the 96-98 factory fog lights (sans the lights):