If you look on the passenger side of the dashboard, with the door open, there is a plastic panel that pulls off (it has the ashtray/cup holder on it)
If you remove this, you'll find the fusebox. Relays should be behind the fusebox or around it. If you need to locate the indicator relay, a good way is to put the indicator or hazards on, and if you touch the plastic top of the relay you should feel it 'clicking'. Be careful however, as they are live circuits.
Interesting, I was sure that the relays for such circuits were in or around the fusebox on the lower nearside (have you checked in the glovebox are to be sure?).
Its possible that it could be found in an auxilliary fusebox under the bonnet, as is the case for some commercial vehicles, but this is usually where the heater plug and engine related relays are.
Unfortunately, if you cannot find the relay in either of those locations I'm at a loss as to where it would be as I was 99% sure it was in the fusebox area (though quite possibly behind the dash in a less accessible area)