Relationships are defined in the relationships window. Relationships are used to enforce Referential Integrity. They prevent orphan records for example. They can also be used to cascade deletes or prevent deletes. For example, a typical order entry application has
Customers --> Orders --> OrderDetails <-- Products
OrderDetails is a junction table between Orders and Products. I would always specify Cascade delete on the relationship between Orders and OrderDetails because if deleting orders is allowed, then I want all children of an order deleted automatically if I delete an order. Customers are rarely deleted. By not specifying Cascade delete on the relationship between Customer and Orders, the database engine will PREVENT you from deleting a Customer if that customer has any orders provided you have checked the enforce RI box.
Joins in a query are not relationships. You can join any two tables/queries on any columns of like data type. So you can join Customers to Vendors on Customer.Address to Vendor.CompanyName because Address and CompanyName are text in both tables. The join doesn't make any sense but the query engine doesn't make judgement. It just does what you ask. You will frequently do strange joins when you get data from other sources and have to attempt to match it up with data in your application.
As someone already mentioned, Access creates HIDDEN indexes on foreign keys when you define a relationship in the relationship window. One side of a relationship is ALWAYS a primary key (or in rare cases, a unique index). So in tblCustomers.CustomerID --> tblOrders.CustomerID, it is tblOrders.CustomerID that is the foreign key and that is the column on which Access will build the index to help facilitate the join.
Access also has a default which you should remove and that is the auto index on fields with specific suffixes. This is intended to help people who don't know anything about databases to ensure that at least some indexes exist. However, if you know what you are doing, this "feature" will just create extraneous and even duplicate indexes so turn it off.