That depends on your motion controller and break-out board. In general, you have to map one or more Mach4 output signals to the pins on your motion controller/BOB that control the relays. For example, on the PMDX SmartBOB products, some of them have "Pin1" control the on-board relay, and some have a separate output pin named "Relay". If you were using a PMDX-411 connected to a PMDX-126, the two relays on the PMDX-126 are controlled by "Pin1" and "Pin14".
To see the Mach4 output signals, go the "Configure" menu and select "Mach...". Then click on the "Output Signals" tab.
M3 turns on the "Spindle On" and "Spindle Fwd" Mach4 outputs and turns off the "Spindle Rev" output
M4 turns on the "Spindle On" and "Spindle Rev" outputs, and turns off the "Spindle Fwd" output
M5 turns off the "Spindle On", "Spindle Fwd" and "Spindle Rev" outputs
M7 turns on the "Mist On" output
M8 turns on the "Coolant On" output (also sometimes referred to as "Flood On")
M9 turns off both "Mist On" and "Coolant On" outputs
You can write custom M codes to control the Mach4 "Output #0" through "Output #31" outputs. There are messages elsewhere on this forum that discuss that. You can also look in the Mach4Hobby/Docs directory for the "ScriptingManual.pdf" which in section 3.1.1 tells you which M codes are available for custom code (i.e. "scriptable").
Bob