If no voltage makes it to the headlights and the fuzes are good, it is most likely the headlight relay. Find the relay and see if it "clicks" when the lights should turn on. If not, make sure voltage gets to the coil and if so, the contacts close. Sometimes common automotive relays are used so they can be picked up cheap for a swap.
There are sometimes other circuits tied to the headlight relay. If you have a good relay and still no lights, you'll probably need a wiring diagram. I don't know how the FZR is set up (and I just ripped all that stuff off the R6), but my last Yamaha streetbike ('80 Maxim 650) had a circuit tied to the headlight relay that would cause the headlight to remain off after the key was turned on, and the headlight would not turn on until the engine was started. Some bikes also have a circuit which causes the lights to turn off when the starter is engaged. There could be a problem in one of these circuits.
Also make sure the headlights have a good ground (Ohm meter from the headlight ground to the negative battery terminal).