Only question I have, is why did the power relay switch go bad? Was it just it's time, or do you have a bad electrical issue, like a bad window switch, or possibly an electrical motor issue with one of the windows? Replacing the relay will resolve the issue, but if you have another problem that has caused the relay to go bad, you need to make that repair also, or you will find yourself replacing the relay again. This of course is being said, if you haven't done any additions to the electrical system in your vehicle. Adding something electrical to your vehicle and to power it just by splicing into something to give it current to make it work, sometimes can cause other issues.
Strange the relay didn't blow the fuse if it has gone bad, it must be stuck in the open position if it's just the relay. Hopefully when you replace it, that will only be your issue, but if not, consider the other options I listed, it will help you track down the electrical issue, if any. Good luck!