The relay pulls straight up, but can be difficult. Too much strain and the socket will come loose which makes it worse. I forget what year we are taking about. It gets tighter the newer the car and the control units in the way aren't as easy to move. You might want to pull the fuse or fuses (on the top) and make sure that isn't the problem first.

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Steve Brotherton
Owner 24 bay BSC
Bosch Master, ASE master L1
26 years MB technician