My Heating system doesn't work at all... nothing lights up in the heating instrument... what could the problem be?? If it is the heater really where would that relay be? Also I just bought the vehicle could it be that the heater instrument isn't connected since nothing lights up?

1. Take a test light or multimeter and check all under-hood and under-dash fuses.

https://www.askmehelpdesk.com/cars-trucks/faq-how-troubleshoot-repair-maintain-honda-civics-46563-3.html#post252145

2. If your dash lights also don't light up, check/replace the ignition switch.
3. Remove the blower motor relay, in the under-hood fuse/relay box, and test it. It should be clearly labeled on the under-hood fuse/relay box cover.