Most apps show you a "global" view (all notes on the relays you are connected to) and a "follow" view (only people you have followed). They may also have other sorting algos in a discovery/DVM area, feel free to experiment. In the meantime, I suggest following everybody you meet which will keep your feed interesting. You can unfollow as your feed gets cluttered and you decide to focus more.

You can think of a relay similar to an e-mail server. You can have Gmail, I can have hotmail, we can each e-mail each other. Anybody can run a relay, most people are connected to several relays for redundancy (by default). Basically, don't need to worry about or change relays unless you're finding the ones you're on unsatisfactory for some reason.