Yes you should hear the pump for at least a brief moment until pressure is achieved maybe longer. Have you heard this pump in the past, asking because you may need to be close to it to hear it. Fuel pump relay is on firewall on drivers side between the brake booster and the centerline of the car IIRC. I think it will have "6 ZYL" printed on it.

Also check that all of the leads on the positive battery post are clean and tight, remove the negative cable before doing anything with the positive terminal and wear eye protection when working around the battery.

Hope this helps.

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