I'm not sure but I don't think it is the fuse because all my lights are still working on my car and the bridge of the fuse on the wiring harness is still intact.
Rundown of steps taken:
Ballasts crimped to the wiring harness (black leads to black and yellow to
red, yellow is the color of my harness wire)
Car turned on
Headlights turned on (lowbeams)
9006 base from harness in factory 9006 plug
Ignitors attached to D2S bulbs
Fuse pushed completely down and relay pushed completely down
Red Wire with Round Connector to + battery terminal
Black wire with Round Connector to - (ground) battery terminal
Am I forgetting something that could be really simple? By the way, here is a basic pic of the harness. Looks just like this one from hidplanet.com.
BTW, the harness has a 5-pin socket for the relay.