Try removing the relay and inserting a jumper into its socket on the two terminals that correspond to the relay's contacts. If the lights come on, then the problem is with the relay or with the circuitry that feeds power to the relay coil or contacts. If they don't come on, then report back and we'll take the next step.
I don't have 2009 diagrams, so unfortunately I can't advise of the relay's terminal configuration. You should be able to analyze the relay with a multimeter to determine how it's set up. There should be four terminals. The two with a finite resistance between them are the coil, which makes the other two the contacts. There should be infinite resistance between them.
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