The string is pulling in a similar way to the gravity force that pulls the Earth around the Sun. The reason a boomerang flies in a circle is because it gets a force by pushing on the air. A boomerang pushes on the air because its arms are shaped in a special way, like the wings of an aeroplane, or a bird. When a plane is flying the wing pushes the air down, and because of this the air pushes the wing up. This upward push on the wing is called the force of lift even though it isn't always pushing upwards.
Lift is always at a right angle to the motion.
If you did stick your hand out of the car window you would feel your hand being pushed back by the air aswell as up. This backward push is called drag and slows anything down that is moving through the air. An aeroroil is a shape that gives lift, but hardly any drag, that's why planes use this special shape and not just a flat plank tilted to push the air down. It has a bigger area pushing on the air It is tilted at a larger angle - until the angle gets too big, then decreases. Imagine sticking your hand out of the window and increasing the angle it is tilted at.