Bought a new relay today from local Audi dealer, who charged £31.38, could have got it cheaper elsewhere but this was the only place who had it in stock.
As Khufu says it's part of the hazard warning switch. You need to remove the stereo which gives you access to two screws, the facia then clips off with little force. This then exposes two torx screws at the top which when removed free the centre part of the dash just enough to get to the switch.
Very simple and took about 20 mins. Far better than Audi dealer who wanted £57 for 45 mins labour to replace it!