No, the relay is a different thing altogether, it's a bit like a big fuse but does a different job. The relay box is on the opposite side of the engine bay to the fuse box, next to the washer fluid reservoir. There are various relays in there for different electronic systems, but it dosen't come with a front fog light relay if they wern't originally fitted to the car. It's really easy to fix, you just need to get the part. I overlooked this when I did my front fogs and couldn't work out why even after fitting the correct indicator stalk, they wouldn't work.