We consider a wireless relay network with one source, one relay and one destination, where communications between nodes are preformed via N orthogonal channels. This, for example, is the case when orthogonal frequency division multiplexing is employed for data communications. Since the power available at the source and relay is limited, we study optimal power allocation strategies at the source and relay in order to maximize the overall source-destination capacity under individual power constraints at the source and/or the relay. Depending on the availability of the channel state information at the source and rely, optimal power allocation strategies are performed at both the source and relay or only at the relay. Considering different setups for the problem, various optimization problems are formulated and solved. Some properties of the optimal solution are also proved.