The headlight relay is under a plastic cover beside the battery. There is 4 in there, the HL one is the 3rd from the front. Clean the contacts up first, could be just a bit of corrosion on the terminals. Use some contact cleaner (plastic friendly stuff) and when clean, smear a bit of dielectric grease on them, that should stop future corrosion.
There is a similar post down the page a bit about headlights, read that too.
Bit scary if they go off when your'e driving though.
"I married Miss Right. I just didn't know her first name was Always."