Relationships between tables are defined by opening the relationships window. You add both tables and draw a line from the parent to the child. A dialog box pops up to let you finish describing the relationship in case more than one field is required. You then check the enforce referential integrity box and usually the cascade delete option also.
Relationships between tables in a query are simply instructions on how to join the two tables for the purposes of THIS query. They have no effect on anything and do have anything to do with referential integrity.
To join two tables in a query, open the query in design view. Click the show tables button. Select whatever tables and queries you want to add to the grid and close the dialog. To join two tables/queries, draw a join line from the foreign key in one table to the primary key in the other. If more than 1 field is needed to complete the relationship, doubleclick on the join line and in the dialog popup, add the additional columsn.