“How can I relieve pain from a retainer?”

You need to have it adjusted. It shouldn't bother you. 

Hi!

It depends on where it hurts from? Are their sharp edges around the plastic? Is the retainer tight around the teeth since its new? Normally, retainers fit snug at first and then they start to stretch over time.

I would consult with your dentist or orthodontist that gave you the retainer to see where the problem may be.