This circuit uses two LEDs which switch back and forth depending on the state of the relay. Relays have a total of 5 pins. The two pins near the top are connected to a coil or electromagnet. When the electromagnet receives current, it pulls on the switch.
The switch portion of the relay has three pins - Normally Open (NO), Normally Closed (NC), and a Common (COM).
When the relay is "off", the NO pin is not connected to the COM pin. When the realy is "on", the NO pin is now closed and connects to the COM pin. The opposite is true for the NC pin.