It's inside a black box under the dash near the steering column. To make sure the relay is bad or not, take a jumper wire and ground the terminal with the blue wire to a good ground and the relay should clunk. If it does then the relay is not the problem.
Second note, don't buy a cheap Ford starter relay, its contacts are not designed for extended high amp operation like the glow plug relay is, use a 1996 Powerstroke glow plug relay (part number listed in the FAQ) instead.
Later,
Joe