Thermostat question

I am going to build something like this http://www.instructables.com/id/Arduino-LCD-Thermostat/
This tutorial looks solid but one thing not explained is how to connect it to a oil heat furnace. I have an existing thermostat so i have the necessary hookup wires.

The standards on HVAC controls are kinda loose, but typical is four wires. One provides power (24 VAC typical) and the other three, when connected to that power, turn either the furnace, AC, or fan on. That is what the relay is doing in the example -- the relay contacts are connecting the 24VAC power to the AC line.

A similar question was posted onthe other place in the forum ,repeated here?