You could pull the relay, apply 12v, and see that the contacts close on the diode or ohm scale.
The fuel pump relay is really the two speed relay. The circuit opening relay works like a normal fuel pump relay. That is in the kick panel. How did you test that you don't get power? Why are you putting in a pump? Because your car didn't start, so you just bought a part?
You can test pump operation in the diagnostic box by jumping FP and B+. If the pump comes on, you have a circuit control problem.