On the 86 GT it's located in the front compartment near the driver's side headlight. You can identify the coolant fan relay by the colour of the wires. It will be the one with a red wire, a brown & white wire, a black & red wire, and a dark green & white wire.
(Edited for wire colours)
[This message has been edited by Bloozberry (edited 05-21-2014).]