A relay is a device that has 2 or more sets of contacts in a (now) sealed container. One set of contacts is actuated by a signal, say 12 volts from the ignition circuit,through a coil that pulls another set of contacts in place that will conduct current to another device. This has applications in the voltmeter rig in the case that through a relay that is activated by the ignition, when the ignition is off, the relay deenergized and the voltmeter or whatever is hooked up no longer draws from the battery, thus preventing excessive drain. When the ignition is on, the secondary contacts make, and you can read volts right at the battery. Really the most accurate place to look.
Totally unrelated, but remember when the high beam switch in cars and trucks was on the floorboard? Your foot pressing on the switch latched a set of contacts tied to a much heavier wire to power the high beams. Picture your foot as the power source for the relay and that might help. Maybe I said too much already. But one more thing, relays can also be used, in the case of foglights, to use a smaller current to switch a larger current so you don't have to have large conductors running all over the place thus reducing cost and complexity.
Being quiet now, Patrick