Four-Prong Relay Useage
The best way to do this is with a circuit like the following.  I've added the pins of your relay in red.  Set the output HIGH to turn on the relay and LOW to turn it off.



Your Arduino pins can sink up to 40mA, so it is possible to drive the relay directly if you want to, though any mishaps may blow up your Arduino instead of taking out the external transistor.



Note that with this second approach you will need to set your output to LOW in order to turn the relay on, and HIGH to turn the relay off (which can be counter-intuitive).