I can't open FileMaker 6 on my machine any more. It's just too old. Let me see if I can help you from memory. I think you need to choose Define Relationships from the File menu. In the resulting dialog, you can create a new relationship. It will ask you to locate a file and then choose the key fields. Pretty straightforward if I remember correctly.
My memory doesn't go that far. LOL
(but because I can remember this:
I revert to the old documentation:
Wow, I'm impressed Jaymo remembers that far back and that Beverly still knows where the User Guide documents links are.
That aside, FM 6 was written around the time of Windows 98 (Users guide uses examples from Win 98), Win ME and the beginning of XP. None of these operating systems are supported anymore and neither is FM 6. Is the data just for the fun of it. If so no worries. But if you need to really use the data, you will want to upgrade. FM 6 data is not considered stable on current operating systems.
Some upgrade instructions are at: Converting older FileMaker Pro files to the .fmp12 file format | FileMaker
My memory hasn't been verified yet lol.