The fuel pump relay location on a 1995 Mazda Protege with a 1.5L engine is
in the underhood fuse/relay box. However, it's
not always clearly labeled. You'll likely need to consult your owner's manual or a wiring diagram to pinpoint the exact relay. The diagram will show the relay's position and number. The owner's manual will sometimes give the relay location and possibly a diagram as well.
Without a diagram, you'll have to carefully examine each relay in the box. Some relays may have markings that suggest their function, although it's not guaranteed. If you're not comfortable working with car electronics, it's best to take it to a mechanic. Incorrectly identifying and replacing a relay could damage other components.