The first step is to actually open the device you want to hack. The device I used included a lot of electronics inside that I simply removed (we won't need these components anymore), leaving just the important parts: the power plug on both sides of the device and two cables going to both parts of the plug:
These two cables will have to be connected together if we want to get some current to flow into the device that is plugged into the hacked device. To do so and control the plug from the Arduino board, you need to insert the relay module now.
Note
Basically, a relay has three output pins: a common pin named COM, a pin that's normally closed (NC), and another pin that's normally open (NO). Normally closed means that this pin is connected to the COM pin of the relay when no voltage is applied to the input of the relay. On the other hand, normally open means that this pin is disconnected when no input is applied to the relay.