I recently installed Kicad 4.06 a few days ago and have a strange problem with the the relays library. So in my project this is what I am doing:
Click on Add button
Navigate to: C:\Program Files\KiCad\share\kicad\library
Select relays.lib then click on Open
Click on Okay
When I try and place a part I get an error message (see pic). Thanks for the help. Otherwise Kicad has been awesome so far.