Brights don't work

So I went to turn on my brights the other day and the stalk feels like it's making contact and the Blue "BRIGHTS ON" symbol comes onto the dash, but no high beams come on. Do the Relays on these cars go out commonly? I really don't hear a "click" when I turn on the brights...Where is the relay for the brights located? Under the steering wheel? I searched this topic, but haven't found anything close to what I'm asking. Bulbs look brand new and the wiring to the headlights looks good....no idea, would like high beams pretty soon though!

Thanks,
Jim

Thanks,
Jim
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