There are two relays, right? One for high, one for low. Also look at fuses. Bulb is in fact good (sometimes it's the stupid things that get us)? Fuses are good? Might be the signal from the ECU indicating the engine is running. Faulty ground (the wiring for the headlights is pretty crazy). Do you have a volt meter you can check the wiring with, or at least a test light? I made a ghetto test light with two wires soldered to a wedge bulb (w5w or 194), worked great and was free since it was stuff I had laying around.