Hmm, yep on the American cars it's in the main fuse box. It's in the rearward driver's side corner of the engine bay. But with the RHD cars, I'm not sure. If it's not in that main fuse box, there's got to be another box somewhere in the car. Here are some pics.
Fuse/Relay box, upper right corner. With that silver sticker on it.
Here's what they look like. You can see two of the relays even have "ABS" stamped on the. If you can get it to buzz, you should be able to feel which one is running, just by touching it lightly.