no relays for the lights, except on some MK1s with spots you'll find one in the engine bay fixed to the passenger side inner wing. (Unless someone has fitted an aftermarket uprated headlight loom of course)
When you pull the stalk towards you it switches between dipped & main beams, you'll also see on the dash a warning light which will be yellow or blue depending on the age of car.
The fact the spots come on suggests there is nothing wrong with the wiring to the stalk, as these should only come on with the main beam! Could be the main beam filaments in the headlights has blown?