I guess the first question to ask is what is the model of the relay you are using. If it has two sets of contacts that close and you are only using one set, you could just monitor the other set. You would use a pullup and the contact closure would ground the signal. So a low on any digital pin on the arduino would mean the relay was closed. If it is an SPDT, and you are using only the N.O. contacts, the N.C. contact could be used. If it is an SPST, then putting a small value resistor in series with the relay coil and tapping off of that would let you know if current was flowing through the coil. Then we have reed switches, hall effect sensors.... There are diferent ways to do it, but the easiest or best way will depend on your parameters.
But, then your question might be the most basic one, "how do I read a digital input?) The answer is digitalRead(pin). We are assuming that your arduino is not controlling the relay because otherwise you would know in software whether it was set or not.
Is your concern that the relays are in some remote location and that is why you are trying to figure out how to read two relays with one pin for example? There are ways to do that, too. But I think you are going to need to be more specific about the paramters of your application. Hopefully these questions helped...