Making a rookie relay module mistake?

As far as normally open and normally closed goes, I tried both configurations without any luck. It was my understanding that I should be able to hear this relay "click" over when the signal is sent to it but I have not been able to get that yet which is why the relay remains in its closed state.

With 12 volt wiring for this relay I just gave it a shot powering it from the 12 volt supply but now the lights do not light up on it as the arduino cycles through its on/off signal to the relay module.