The fuel pump runs for a couple of seconds when you turn on the ignition to pressurise the fuel rail, you should hear it if you listen carefully.
There will be a fuse in the fuesbox, but it changed location at least once just to confuse you. The relay, depending on year, is at the front of the under-seat box (or the rear) and is one of 2 on earlier cars, not sure what the 3rd one does (when fitted, possibly an air-conn thingy) but the other is for the injectors and will have 2 very thick brown wires on it.
This relay should click when the ignition goes on.
I had a problem recently with the plug at the tank end, the wires had corroded and all but snapped right next to the plug, as I fixed one the other fell off in my hand :roll:
One of those wires is common with the fuel sender, the black one on mine.
I've also seen the connectors in the fusedbox slip out of the back as you push a fuse in.
The ECU controls the fuel pump, check the power supply to that too.
You may need to look at an owbner's manul for that year of car, but as you don't say what year I can't help, as they changed a lot.