My headlights go up but not down.
What do I check out first? And where are ALL relays located for them ?

There is only one relay per motor and its located under a plastic cover plate, right next to each motor.
If both headlights go up and both do not go down my guess would be a bad or disconnected pole at the headlight switch. Beyond that yuo'll have to start checking grounds as something is not letting the motor run backwards. It could be the relays, but it would have to be a partial fault (the exact same fault) in both; very unlikely.

Try the switch first and make sure it and the motors are wired correctly