If the anti-freeze has been serviced regularly, then corrosion can be ruled out.
The suspect parts are:
Thermostat. If it is stuck open the engine will not reach operating temperature and the heater will not blow warm air.
Heater control valve, which is probably electronically controlled in the Jag, this allows the engine coolant to flow through the heater core. The heater core is a small radiator located under the dash which coolant flows through and the blower fan gets heat from blowing through it.
Lastly, the mode control, which is a door that directs air flow from defroster, the main to feet, etc, could fail and there is a main one that opens and shuts the heater box. However, since you feel air, probably not the case.
Check to see if the air is coming out of the correct duct as you change the mode and if you have not serviced the anti-freeze, go ahead and do so. While you are do the anti-freeze change the thermostat as the are much less expensive the the heater actuator valve and should be changed at a regular interval anyway.
Let me know how that goes and if you have any other questions.
Friday, January 7th, 2011 AT 5:19 PM