Am Completely Lost

Hello all let me first start out by saying I suck at SQL.  I can do quite a bit with ASP.NET but SQL Server is on area that has haunted me and I have finally decided to bite the bullet and figure this behamouth out.

Well here is my first problem, which is the biggest reason I can't seem to understand SQL Server or dataases in general.

To have a realtional database you set up tables with foriegn keys and primary keys referenceing the id's like product table has a product name and one of the columns is a user_id displaying the id number of the user in the user table.  From what I can tell you are supposed to set up the user_id in the products table a foriegn key to the Primary Key in the user table.   I may be totally wrong on this though.

Now my biggest question is how do you retrive this information the proper way to get it ready to be displayed in a gridveiw or a datalist? 

I have been reading SQL Server 2005 for developers and reading online tutorials and it seems like they say you need to set up a relationship and because of the realtionship you don't need to do a join, but I never hear how to use the relationship at all.

Please someone help I am so totally lost that i feel like i will never understand. I have spent the last week trying to figure this out and I guess I am just googleing this wrong completely or i am incompentent one of the two.

Thank you.