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The headlamp relay powers all four fuses together and then each fuse supplies power to the respective bulb filaments. If you do have power at the fuse for the one that has quit working then the problem will have to be in the wiring.
You may have a lack of ground to the bulb or it could be a lack of power. The first thing that will need to be done is use a test light or voltmeter to determine which you are missing. If you're missing power but it's ok at the fuse then there is a break in the wiring somewhere between the fuse and bulb.