do you have a voltage source for your lamp in your circuit? telling from your "1vista general"-picture you're just shorting the lamp with the relay. the relays is just a switch which can be "pushed/closed" by your arduino.
still the relay should make some sound if you operate it via the transistor. i would not recommend using it without the transistor, the electro magnet inside the relay draws a lot of current.
so the first thing to do is getting the transistor circuit to work. leave out the big lamp, and just try to control the relay (you wrote you can hear it).
i had a look at the relay pdf that you named (Arduino Playground - HomePage). to me this was quite misleading. you should look for other examples on using a transistor to control a relay. in the PDF it is important to understand that your relay is the small box named "K" next to the diode. the connectors on the right (Relay Power V+ and GND) go to either +5v and ground on your arduino or to your external power source (battery) if you are using a bigger relay.
i couldn't see this all on your pictures but maybe it will help you.
good luck, kuk