The self test will help you if you have an Auto temp control system but not if yours is manual.
Your going to have to access the blend door actuator under the dash to see if it's working or if the door may be jammed.
Here is a TSB about a problem they were having with that vehicle.
1997-98 CROWN VICTORIA, TAURUS
1997 TOWN CAR
1997-98 CONTINENTAL, GRAND MARQUIS, SABLE
1997-98 EXPLORER, MOUNTAINEER
This TSB article is being republished in its entirety to remove reference to the 1998 Town Car.
Some vehicles with a very low odometer reading may experience a lack of temperature control. This may be caused by the incorrect blend air door actuator being installed during the manufacturing process.
Install the correct blend air door actuator. Refer to the following text and Actuator Chart to determine if the correct blend air door actuator is installed on the vehicle.
Vehicles which are equipped with manual and Electronic Automatic Temperature Control (EATC) use different actuators. The actuators are marked "MAN" for manual and "EATC" or "ATC" for EATC systems. These markings are found on the part number sticker on the actuator.
1998 actuators differ from 1997 actuators on some vehicles (Crown Victoria/Grand Marquis, Continental, Explorer/Mountaineer) and are not interchangeable. Installation of the wrong actuator can cause potentiometer failure on manual systems, and no temperature control for both manual and EATC systems, as well as Diagnostic Trouble Code (DTC) 24 or 25 on EATC systems.
Saturday, December 18th, 2010 AT 2:04 PM