Maybe you have not set your pin to be an output. You could be seeing only the current from the pull-up circuit.
Conventionally, you would wire a TTL level relay between your output pin with the other leg going to +5V. Then put the output pin LOW to turn on the relay. Typically TTL logic outputs generate +5 via a pull-up resistor or similar weak current source.
Despite whether your relay coil can operate with small currents, I would still recommend using a transistor to drive it. There are plenty of examples and discussions in the playground and forums. Here's a couple of hits that I got:
http://www.arduino.cc/cgi-bin/yabb2/YaBB.pl?num=1289431549
http://didier.longueville.free.fr/arduinoos/?p=2308