Sometimes the relay requires more current to pull in then the board can supply.
The way to fix this is to obtain +5 volts from the computer power supply, a plugin power wart, or other source and use this +5 volt to drive an NPN transistor that in turn drives the relay. See the following link:
The base of the NPN transistor would be the +5v signal from your board and the relay +5V would be from the power supply or other source of +5v.
This should become more clear when you study the link I provided.