In this case, the relay is inside the ECM box. It's the black one. Specifically, this relay provides power to the coilpacks. I am sure it also provides power to some aspects of the ECM as well. On the 2001 (AWM), it also provides power to the VVT solenoid. You can check fuse 29 in the fuse panel under the steering wheel dash right by the driver's side door, otherwise, the relay is toast.

If the relay is toast, don't forget to look into why it burnt out: exposed wire, power surge, etc.