Relationships are a term used to map content with other content via a term. A common example is linking up scenes of a video into a DVD object, DVDs to a Box Set, etc. Relationships allow you to make this connection.
You have to first create relationships on the relationships page. Once they are created, you can make relationships with the appropriate content.
You can make relationships in batch. Relationships can be made in batch under the "bulk operations" widget on the "browse content" page.