Do i need to do the circuit below first before connecting or is it already in the relay? I noticed that the person who did the example just connected it to his arduino.
The circuit is already on that board/module (and its not in the relay, the relay is also on the board). Follow the instructions on your first link for wiring it up.
The relay itself is the black rectangular component on that module. You can see the transistor between the green terminal blocks.