@carmelo42 - I have been working alot with mysensors and relays.
Im using a pro mini, powered from 240V AC through a iphone charger.
My experience is that its mostly about the power.
Your power to the relay can't come from the arduio, it needs to be feed directly from a good source.
Ground can sometimes go through the arduino, but this I have had to try back and forth on each device.
Caps! As mentioned above! Important!
Also make sure your sketch works - begin with minimums. Attach a led instead of a relay and try HIGH/LOW and see that works. If it does, take the next step with attaching mysensors library and recive function. If that works try next step and attach relay.