The 500A relay is a switched on/off relay that completely regulates the winch from accidentally draining your main battery, because the winch relay may fail or have a parasitic draw. The amperage rating is to give the proper amps that the winch requires. If the relay goes past 500A it will thermally break the circuit and reconnect when it cools down.
Relays all work the same, there's a source power (+), an auxiliary device power (+), ground (-), and signal wire (+). Source would be 2 awg directly on the (+) battery, aux goes to the 2 awg (+) main power feed to the winch, ground (-) a 16 awg ground cable for the relay, and 12v (+) signal wire goes to a switch in the cabin or wherever.
Relays all work the same, there's a source power (+), an auxiliary device power (+), ground (-), and signal wire (+). Source would be 2 awg directly on the (+) battery, aux goes to the 2 awg (+) main power feed to the winch, ground (-) a 16 awg ground cable for the relay, and 12v (+) signal wire goes to a switch in the cabin or wherever.