OK, should be 4 wires off the relay:
*Positive from Bat
*Positive to Lights
*Ground to Chassis
*Positive from switch.
If you've got them all hooked up correctly, every time you flip the switch in the cab, you should hear the relay clicking (openning and closing). If you hear that, and the lights still dont come on, check your connections to the lights and that the lights are grounded correctly.