Just a couple of extra thoughts building on the above. I am going to assume that your new parts are in good order!

First, some of the pin references above are potentially confusing if you aren't able to consult the M-B circuit diagram (p.107 for this purpose). When you remove your fuel pump relay, the pins you want to bridge are identified in the fuse box as pins 7 and 8. Pin 8 should be "hot" all the time, so test that first. (You did state that you had no power to the relay; perhaps you have already done this.) Connect your voltmeter's positive probe to pin 8 and the negative to a suitable ground; you should see battery voltage without the ignition on.

The next place you can test this circuit is at the 14-pin connector under the driver's side of the dashboard (C104). It takes a while to find at first because of all the other modules in that area, but the one you're after has a fairly thick black, red, & white wire to pin 2. Separate the two halves of this connector and, with pins 7 & 8 jumpered as before, verify battery voltage. The power wire runs from here along the car's floor on the driver's side and then turns in the rear seat area to cross over to the passenger side and enter the trunk near the fuel filler.

The pump's ground connection (G104) is located in the trunk behind the right-hand wheel carpeting, and has a brown wire running to it from the pump. As Mr. Taylor noted above, this could be your problem, especially if you've tried applying another power source and the pump still didn't work. (Did that power source depend on any particular position of the key?) Bear in mind that when all is right, the pump will only energize when the key is turned to the start position. You don't want it on whenever the ignition is on, for safety reasons.

Hope that helps, and good luck.