Sorry if this was already said by someone else but double-check that your relay is connected properly.....
The fog relay that comes together with the foglights should have a wire that connects to a fuse and from that fuse, the same wire goes straight to the battery. The other accompanying wire should touch the car's chassis as a ground source. There should also be one wire that should be connected to a "trigger" power source, such as the parking light.. You should make sure that this is all correctly done and then test your foglights with regular H11 bulbs. If it turns on, then your foglight relay is working fine.
If you want to run HIDs in your fogs, you will need to purchase a HID Relay Kit ($11 shipped on eBay).
http://cgi.ebay.com/ebaymotors/H11-H...lenotsupported
Once you get that, I'll let you know what to do next.