Reading through the link Remou posted, it looks like the limitation on relationships is that if you want to set referential integrity between tables, they must be in the same file and the relationship must be defined in the datafile (backend or where the tables are not linked). Also since referential integretity is needed for cascade updates and deletes, it also requires the tables to be in the same file.
This matches my experience.
It is most definitely possible to link both tables into a third file and make a query joining the data together. you could even link one table into a database where antoher table is (probably not a good idea, but possible).
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