When I set the thermostat for the heat the blower does not come on. When I turn the fan on Auto the blower comes on. What's my problem?

Would this be a new tstat install?
Not fully understanding what the prob. Is,, the fan normally should be set to auto. Is the furnace working as it should when in auto?
It might also help if you could tell us what kind of furnace you have,, electric,, gas, oil, boiler

I think part of your problem is you don't really know what on, auto, heat settings should be doing in correlation to your heating unit, or you don't know how to explain what your problem actually is. Oh well, not my problem, but glad to help you with your problem if you can give much more info about,, well, your problem. Take care.