g6swj:
Sorry maybe I did not make the connections clear
Previous was clear, but it's not clear what connections the relay requires, as distinct from what you have supplied it. You should provide a link to the relay datasheet.
If it's one like in the stackexchange link, the relay's led is cathode to the data pin, and anode to Arduino 5V. That's backwards from what you're supplying, so the led would never be on.
(But I'm guessing: provide details of the relay module.)