Tom, if the fan comes on when you turn the heater on, the thermostat is working. The fan should start, then the gas solenoid should open as the electronic igniter tries to spark. If it doesn't sense the flame it will shut down. If the fan doesn't come on, the sail switch will prevent the gas valve from opening.
So, if the fan does come on and just blows cold air without ever shutting off you could have dirt in the burner, or the circuit board could be bad, or the igniter is going bad or is out of adjustment. In any of those cases, you will need to remove the furnace to repair it.
There are some repair manuals and parts lists on the web. You might try
clicking here.