Hi Boocat,
I've drawn a sketch illustrating the way the foglights should be wired. The arrow comprising horizontal lines is accepted as the generic symbol representing an earth connection - i.e. a wire bonded to the frame of the bike.
However, if you're still having problems, it may be an idea to contact a professional to check it over, just to make sure all is well. It's even possible that the relay is faulty, for example.
The relay will normally have numbers associated with the connections on its base (85, 86, 87, etc). It's worth double checking in the supplied documentation to verify where they should connect in your circuit, and also it's worth noting that sometimes the numbers aren't directly next to the connector for which they are relevant - more "in the general vicinity" :wink:
Worth another look, anyhow!