This is a simple example of a classic Order example. Each Customer can have multiple Orders, and each Order can consist of multiple OrderLines.
You create a relation by adding a foreign key column. Each Order record has a CustomerID in it, that points to the ID of the Customer. Similarly, each OrderLine has an OrderID value. This is how the database diagram looks:
In this diagram, there are actual foreign key constraints. They are optional, but they ensure integrity of your data. Also, they make the structure of your database clearer to anyone using it.
I assume you know how to create the tables themselves. Then you just need to define the relationships between them. You can of course define constraints in T-SQL (as posted by several people), but they're also easily added using the designer. Using SQL Management Studio, you can right-click the Order table, click Design (I think it may be called Edit under 2005). Then anywhere in the window that opens right-click and select Relationships.
You will get another dialog, on the right there should be a grid view. One of the first lines reads "Tables and Columns Specification". Click that line, then click again on the little [...] button that appears on the right. You will get this dialog:
The Order table should already be selected on the right. Select the Customer table on the left dropdown. Then in the left grid, select the ID
column. In the right grid, select the CustomerID
column. Close the dialog, and the next. Press Ctrl+S to save.
Having this constraint will ensure that no Order records can exist without an accompanying Customer record.
To effectively query a database like this, you might want to read up on JOINs.