The relay's job is to protect the delicate interior circuitry of the car's computer and switches from the high current demands of these components. If you were to run a large current directly through your car's switch for the headlights, for instance, that switch would likely overheat and fail. The relay handles the high current, leaving the switch to only control the smaller current activating the relay.
Different relays control different systems in the car. A 1995 Ford Escort would have several relays located in a relay box, often under the hood or in the interior fuse box. Without knowing *which* relay you're asking about, it's impossible to give a more specific answer. To understand the function of a specific relay, you would need to consult a wiring diagram for your specific vehicle.
