Back before FileMaker 7, you could only define one table per file. Thus, FileMaker has long had the ability to establish relationships that link tables in different files.
Do you know how you would set up this relationship if the tables were all in the same file? The method for doing this with tables from external sources is nearly the same.
Open Manage | Databases | Relationships
Click the button at bottom far left to start a new table occurrence
In the Data Source drop down, select Add FileMaker data source. This opens a dialog where you can find and select the other FileMaker file. Once you have selected it, you can select a table from that file and now you have a table occurrence to an external file that you can link to your local tables just like you would another table in the same file.