Clarification: "normally closed" means the contacts are together before you trigger the relay, at resting state the number 87 terminal is hot. When you trigger the relay, it switches the circuit to open (no power at 87).
This is not the common relay- the ones I normally run into all over the place are normally open, you need to trigger the relay to close the contacts and supply power through.
The relay may have two number 87 terminals, in which case it will supply power to both at the same time, when powered on.
More commonly, the relay will have one 87 terminal and one 87a. Electricity goes to one when the relay is at rest, to the other when the relay is triggered (energized).
How is your harness set up? Do you need one with dual 87 terminals, or do the wires to each circuit meet at one terminal?
Safety thought: a headlight harness should use auto-reset circuit breakers, NOT FUSES. With fuses, if there is a short, you loose all lights on that circuit. Darkness- great fun driving at speed. Auto-reset breakers (the common kind for automotive use) will cut out, cool, come back on, cut out, cool, come back on, etc. giving you a chance to get stopped safely, while also protecting the wiring. There are nice little circuit breakers that fit in place of a fuse, in the same holder.
