How do I connect a relay and transistor to an Arduino?
Here's a well illustrated similar answer on a different forum.

http://letsmakerobots.com/node/528#comment-15665

(deeplinked images)

A schematic diagram of a relay showing the two coil pins and the three pin switch consisting of normally-open, normally-closed and common (power). 


(source: letsmakerobots.com)  

A circuit using a transistor to drive the coil and a diode to suppress its back EMF.


(source: letsmakerobots.com)  

Don't forget to adjust for the different pinout of your relay.