I had the same problem in my 2001 SE, my blower motor completely died and I had to replace that, but I didn't bother changing the BMR (blower motor resistor).

In the end I only had heat on #5 work, while 1-4 did not.

The blower motor is located under the passenger side glove dash, you have to remove a panel and it is a very tight spot.

The BMR is located right behind the actual blower motor.

Test the power to both to find out which one, if not both are bad.