I have a 2005 Yamaha R1 and the highbeams wont work and the blue indicator light wont light up when the switch is turned to high beams.. the lights are new and are all connected correctly.

Hi,
check your headlight relay for loose connections or a bad wire from the relay to the headlight.
Turn off the ignition and if you have a multimeter set it to Ohms and check the wiring for continuity from from the relay to the headlight.
It could also be a bad wire from the handlebar switch to the relay.

You could reverse the two wires at the relay that are feeding your headlight. Obviously the high and low beams will be switched on in reverse, but if the high beam comes on in low beam setting then the headlight and wiring are OK but the high beam contact in the relay is no good, (in which case you would replace the relay) or the handlebar switch or the wiring from it to the relay are bad.
Ask more questions if you want.

Cheers, Steve
PS Feel free to vote for my answer or give a testimonial if I have helped.