Thank you both for your excellent advice. Both of your explanations regarding the low speed being on a closed switch/coil not powered and the coil only connecting for high speed operation makes a lot of sense. If I spent enough time checking out the relay coil I could figure out what it did... But, with almost ALL of the wires being black and not knowing where the wires go TO, without a diagram, and without knowing what you have just told me about the blower motor.... Thanks for the explanation!
Just FYI - this furnace is old and there are no diagrams, instructions, etc anywhere to be found. Most of the wires off of the relay are black and it appeared that the last technician wasn't too concerned with neat wiring! I'll probably go up there and clean up the wiring this summer. I don't due much work in the winter (I hate cold weather!)
Thanks again! You placed my mind at ease that it is all connected correctly.