Those 2 components go in different places. The actual thermostat will go on the wall where the old Honeywell thermostat was. The Heatlink goes next to or near to your boiler and you would need to post a wiring diagram for your boiler to connect the heatlink. The existing wires to your thermostat can be connected to the 12v out of the heatlink and the 12v in of the thermostat itself.
In reality this is very simple install for anyone who is electrically competent. The instructions are very straight forward.
If you are struggling or do not have the confidence to wire 230v circuits, I would suggest you may want to book the Professional install service that Nest offers