The relay is under the dash (I think), but I'd suspect a wiring problem. If the fuse was blown, the bulbs that you replaced might not have actually been blown.

I'd recommend finding a factory manual (not Chilton or Hanes) so you can have connector pinouts, wire colors, that kind of stuff. This is a really hard problem to troubleshoot remotely, mainly because you're dealing with modified wiring. I'm in Colorado pretty much permanently, but there are people local to you who should be able to help out.
If the wiring was stock and un-modified, this would be simpler to troubleshoot. Make sure you find out if the wiring is correct or no before you worry about relays and that stuff. I'm guessing someone has fucked it up. People shouldn't messing around modified wiring unless they know what they're doing, or get some help.
It makes me mad because sooo many perfectly good cars get turned into unreliable piles when people start messing around with wiring.