wiring manuals There are two relays in the system. The blower relay which supplies power to the blower motor. This has to be OK as the blower operates on high speed. There is a high speed relay that connects the blower motor to the resistor when it is not energized by the blower switch and it connects directly to ground when it is energized.
This may have failed by burning the lower speed contacts open but cannot have welded the high speed contacts or the blower motor would run on high at all times. The high speed relay is located in the underhood relay box and you can find another relay of the same type in the box to substitute to check it. The high speed relay is located in the relay box at C/D 3 in this diagram.
2000 Ford Explorer XLT Blower Motor Control Module Repair