The outputs are all active-low transistors, so you connect the relay coil between the +24 V supply and the controller output pin. When the output is active, current flows from the supply through the relay to the controller pin and thus to common.
You should add a flyback diode across the relay, unless the one you pick already has an internal diode. Some controllers include a similar diode at their output transistor, so check the doc for whatever controller you have.