I assume that the fuse you found blown was for the left side head light. A short or very low resistance on the line after a fuse will cause the fuse to blow out. The fuse is there to protect the wiring and the equipment. A relay is basically an electrical switch that allows a low current to control a high current line, usually. Relays can go bad but very rarely do they short out. The short problem is most likely near the light itself but could be elsewhere. You could pull out the relay and see if the short goes away then. If so, the problem is after the relay.