Just to clarify the above post a touch.
NC = Normally Closed, meaning the electrical contacts are closed/ON when power is NOT applied to the coil. When the low power controlling circuit does energize the coil, it pulls the contacts apart/open thus turning OFF the high current circuit.
NO = Normally Open, is just the opposite. The contacts are normally apart/Open when power is NOT applied to the coil and when the controlling circuit does energize the relay's coil, it pulls the contacts together and turns on the high current circuit.
Very commonly a relay has both a NO & NC contact with a common lead. With the coil de-energized the common lead is connected to one set of contacts and not the other. Energize the coil and it swaps, opening the circuit that was closed and closing the one that was open. (now that's my experience in electronics, automotive style relays my be different, being strictly NC or NO)
Radio-Shack is hit or miss when it comes to electronic help. You probably would have been better off going to an auto parts store, maybe.
I would remove the fuse and go back to normal lights and give WK a call to:
1) See if they have any better troubleshooting experience, ie. they've seen this before.
2) See if they'll stand by their product and send you a free relay if that's the problem.
3) There could be a cause and you are just seeing the effect. It could simply be a bad relay or it could be water getting into somewhere it shouldn't and they may be able to recognize this and provide assistance.
4) If it is the relay and they are not going to send you one for free you can either get the correct relay from them or at least they can tell you the correct type so you can get it yourself.
I will say this, you can not simply go by looks alone. Part numbers must match or there should be a cross reference chart stating one part is equivalent to another. Also, relays will sometimes have a schematic of what each lead is printed on the case, which can help is in ensuring each lead does the same thing for both. Heck you can always plug the part number into Google and see what it returns, maybe giving you somebodies equivalent part.