The fuse is located in the boot, behind the panel on the right (you would have removed it to change the outer light if your car is RHD), I believe they are fuses 7(Right) and 9(Left) in the black fuse holder but check your manual.
You said the lights didnt come on, which lights? If you mean the side/running lights you will need to switch the lights to side/on (not auto if you have that). Also check if the lights come on when you brake, it is the same LED's but on a different circuit. Again check the indicator, reverse and fog lights, if non work, then it could be the fuse.
However, if only your brake/side lights don't work there are a couple of possibilities.
Most new lights don't come with the bulb holder, so you may have swapped yours in which involves plugging a molex style connector for the LED's. Check this is not the wrong way round
Check the cars computer using a VW/Audi diagnostics tool, it may have stored a fault in the module which has disabled the lights (as mine did when I changed mine). Clear this and try again.