The beauty of all RDBMSs is that they allow you to store different types of related information, and they keep track of the relationships (once you set them up). Unfortunately, a "relation" or "relationship" isn't something you just point to and say, "hey, here is a relation."
What you do is create two tables, and then you link them together by having a foriegn key in one table point to a primary key in another table.
For instance, for a simple message board application, say you have one table for USERS and one table for MESSAGES.
messages:
messageID INT NOT NULL PRIMARY KEY AUTO_INCREMENT
userID INT NOT NULL
messageText TEXT NOT NULL
users:
userID INT NOT NULL PRIMARY KEY AUTO_INCREMENT
userName VARCHAR(16) NOT NULL
userEmail VARCHAR(16) NOT NULL
userPassword VARCHAR(16) NOT NULL
userSignature TEXT
If you notice the messages table contains a field called 'userID' - that means that each entry in the messages table MUST BE associated with a specific record in the users table.
When you want to get the information about that specific post, you want the user information, too, you just do a simple JOIN query:
SELECT * FROM messages, users
WHERE messages.userID = users.userID
AND messages.messageID = 56
And that will get you all associated information for messageID number 56.
This is a very simple relationship - there are many others you can accomplish if you set up your tables with those in mind.
Unfortunately, the vast majority of PHP coders don't take the time to really learn RDBMS technology so all they use the database for is storing information, a glorified file-based system.