Copied from this site:
http://tmar.net/fog_lights.htm
2001 - 2006 Jeep Wrangler: The Jeep Wrangler TJ factory setup, as with most vehicles, turns off the fog lights when the high beam headlights are turned on. To have the fog lights stay on with the high-beam headlights on the 2001 - 2006 TJ Wrangler, follow these instructions: Find the #35 fog lamp relay inside the main fuse box, which is on the passenger side of the engine, under the hood. The relay is clearly marked on a diagram on the inside cover of the main fuse box.
View attachment 198092
View attachment 198093
Pull the relay straight up and out of the socket. Carefully and slowly bend the #1 pin (it's marked) 180 degrees around to the side of the plastic relay, so it will not make contact with its female socket when the relay is re-inserted. Re-insert the relay and you're done. You can now turn on the fogs with either low beam or high beam headlights.