The relays are inside the power distribution box. On my '92, the top half of the box with the fuses lifts up and out to reveal the relays underneath.
I would start by putting my voltmeter on the "outlet" of the relay (the red wire in this case), and turn the key on. If it shows 12 V, the relay is obviously closed. If it shows 0 V, then the relay didn't close, or there's a break in the power upstream of the relay.
So, put the voltmeter on the "inlet" wire (yellow I think, the one from the fuse). If this has 12 V, then the relay didn't close. If this doesn't have 12 V, then fault is further upstream (maybe the fuse).
If it looks like the relay is not closing, before declaring the relay defunct, check the coil side of the relay for a complete circuit. Basically, if there is current flowing through the coil side of the relay and the relay isn't closing, the relay is bad.
I would test it in place, so this will not necessarily determine if the fault is in the relay or if it is corrosion in the relay socket. If you get that far, consider checking the socket for continuity before replacing the relay.