So the LED you wired up is OFF? You do know that D1(pin 7) turns the relay on and off, right. Also that relay is normally closed when its not being powered, which means the LED should be lit. If D1 is always HIGH then the relay is open, and the LED is OFF.
Now if the Onboard LED is also off then it could be that the 5 volts is not enought to power it.
Just pointing that out.