From May 2011

If you happen to see the message “Failed to open the relay log…” in your MySQL error log file (sometimes it is good to look into it once in a while) then you either have your replication setup incorrectly or you forgot to remove the salve information in the master.

If the later is the case all you have to do is to login to the MySQL server and issue:

Stop Slave;
Reset Slave;

There is no need to restart MySQL. But if you want to see that it actually works now, then restart MySQL and look into the mysql.log file. You will now see that the error message is gone.