example ( sory if its not right, ive only just started using relays )
lay down a brick. and begin eventing, like this:
0 On Activate-->named brick--> fire relay
100 On relay-->named brick--> chandge colour--> red
200 On relay-->named brick-->change colour-->green
300 On relay-->named brick-->change colour-->blue
400 On relay-->named brick--> fire relay
and then when you click the brick the colour will change red, then green, then blue, and then start repeating.
and there ya go! :D