A relay is just a glorified switch... except it uses an electro-magnet to operate the toggle and that magnet requires two wires of it's own. The whole idea is to let the magneticly operated switch carry the heavy current while the nice neat little switch carries a light current - just enough to operate the magnet.
Think of it in those terms... a power supply and a load (same as a normal switch) with another power supply (usually with a real switch or a button in the way) and an earth for the electro-magnet. It makes more sense that way than as a "mystery box" which a bunch of "mystery terminals".
