help to connect arduino to a desk lamp with relay module

That array has three screw connections for the 220V.
Use the middle and one of the others. One of the others we be default on, and can be turned off, the other is default off and can be turned on.
Use that in the same way as using a switch. On wire of 220V is connected to the desk lamp, and the other wire passes through the relay.

Promise to be careful with 220V ? Okay ?