The relay block sits right alongside the underhood fuse box, but UNDER the cover/shroud. To remove the fuse box shroud, you will have to unbolt that curved corner brace that bolts to the fender and wiper cowl. Once you take those four 13mm bolts out, that brace will come right out then you can lift the fuse box shroud straight up once you release the tabs that hold it clipped on. You may have a wiring harness or two clipped on to the front if the fuse box shroud that you have to remove as well. Once you get the shroud off, then pay attention to the actual fuse block. One corner is the main feed and this wire feeds directly to the battery. This is where your power supply for the fan relay block will connect to. You need a 7mm socket to take that loose. I suggest removing the negative battery cable first. Also pay attention to how the fuse box is clipped in place. If you unclip the side towards the driver's side fender, you can flip it up, side the other side is basically hinged on two pins. Release those clips and flip it up because you will want to run the fan harness UNDER the fuse block and clip the fan relay block just to the right side of the fuse box(if viewing from the driver's side of the truck). You should clearly see where the relay block fits into, it looks like it was made to fit there. Once you get that clipped in, the harness ran under the fuse box, then clip the fuse box back down, connect your power supply I previously mentioned. Then the part of the fan harness with the two ECM trigger pins will need to be routed to the PCM, and plugged in to the PCM. To to that, you will have to unclip the tabs holding the PCM in place, then undo the two 7mm bolts that hold the harness to the PCM. route your two fan pins in, and you will want to plug the green trigger wire into the BLUE plug pin #42. The blue trigger wire goes to pin #33 in the GREEN plug. A little silicone grease helps a lot when sliding those pins in place. Be very careful removing the PCM harness caps/covers so you don't break them, use a small screwdriver or a pick tool. Now once you get the PCM part out of the way, start running the rest of the fan harness alongside the wire loom that runs from the fuse box down towards the radiator core support. Use some zip ties to secure your fan harness in place to that existing harness. When you get to the bottom of the core support, go towards the passenger side and keep securing the harness alongside the existing factory harness along the bottom of the radiator support. Your fan plugs should line right up in the middle of the radiator if you did everything properly so far. Now take the rest of the harness and keep running it towards the passenger side, and find a good place to ground it on the passenger side frame rail. On the 05-06's, there is a bolt where the harness grounds to the frame just below the frame horn, behind the bumper. On my 2001, my horn is in that area, so I grounded mine using the bolt that holds the horn in place to the frame rail. So now once you get all that done and secured, just plug your fans in (assuming you already mounted your electric fans) and then you are done.
For a little more info and a few pictures, go look at the thread I made when I installed my electric fans.
https://www.tahoeyukonforum.com/threads/i-installed-e-fans-on-my-2001.28336/