Automotive relays rarely go bad. I'd guess that the switch went bad first. Now, do your parking lights, or marker lights work when you turn the headlight switch on?
Have you checked the fuses? A fuse diagram and explanation of what each fuse does is located in your owner's manual. It's easier to look through there and find the related fuses, than it is to pull each fuse out.
You can also trace the wiring from the passenger side headlight down and around to the driver's side to see if there is any damage. You should also check the high beams to see if those come on at all.
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