Where is the headlight relay on a Volvo 240?

You did not say what year. On the 1989 Volvo 240 GL, the headlight relay is mounted on the drivers side front fender just back from the battery box. The relay has two plugs going into the bottom and I would say about 1 inch wide, 2 inches long and about 1.5 inches deep.

The relay that you're referring to is the high beam relay. The headlight relay switch is located in the cab of the car behind the brake and gas pedals. You pull back the carpeting and it is mounted to the firewall.