Open the cover on the boiler (a furnace is a hot air device - a boiler is a hot water or steam device) and see which color lead is on the R position, and put that on the R terminal of the new thermostat. The other wire should go on the W terminal of the thermostat. Some thermostats won't care if they are switched, it's possible some do, but it's better to not guess. Essentially all the thermostat is doing is connect those two wires together when it needs to start the heating system, and breaks the connection when it's done...just like a light switch.
If I were going to guess, I'd use the red wire to the R terminal, and the other one to the W terminal. Some of the thermostats also have internal switches or controls to tell the thing what type of heat you have...and, some allow you to adjust the tolerance on the temperature control. With a boiler, if you have a choice, you probably don't want to control it too precisely - it will potentially make the boiler run shorter cycles, which isn't as efficient.