Well,
This is a simple fault searching method, sorry if it is to basic.
1 Locate the article number on the relay - confirm that it ends with 5V DC
2 Locate the coil terminals on the relay
3 Measure the coil resistance - according to your data sheet shall it be 31ohms +/- 10%
4 connect the power supply to the realy and confirm that it clicks
5 if it does not click - reverse the power supply and try again.
6 Here would I normally give up and get another relay
If you are really serious can you measure the current through the coil. Another option is to increase the realy voltage.
It is very possible that the relay contacts can have been welded together if you got this as a surplus relay. Then should you also get a new one
Magnus