Here are two links that should help you to understand:
For a normal relay (not a solid state one)
On the picture your boiler would be connected to the 'c' and 'no' pin of the relay.
All the other bits are necessary because the relay needs more than the ~20mA the Arduino provides to switch
Solid state relays need less current to switch, this is why you can operate many of them directly from your Arduino.
I would definitely choose a relay with a decent safety margin
This tutorial explain a lot about how to connect everything - in case you wonder where all those wires go...
http://www.sparkfun.com/tutorials/119
Remember that for safety you can not run your 220V over your little Arduino prototype breadboard. You need to keep the relay and the 220V away from the rest of the circuit. You could buy a simple electrical box from any DIY store