An example of this would be where you have 2 files one for Opportunities and a second for Activities. In this case, the Primary Entity is OPPORTUNITY and the second Entity is ACTIVITY and they have a relationship.
Press the Options button in the top left of the Navigation Bar and select Schemas
Press Create Schema button
Give the Schema a name - e.g. Opportunity and Activities
Select Other as the Source
Press Add Primary Entity button
Add the Primary Entity Name - eg OPPORTUNITY and specify a Primary Entity Label
Specify the column name that is unique for each row as the Primary Key
Specify the Sort Order the same as the Primary Key
Press the Add Entity button
Add the Secondary Entity Name - eg ACTIVITY and specify a Primary Entity Label
Specify the column name that is unique for each row as the Primary Key
Specify the Sort Order as the Foreign Key to Opportunity followed by its Primary Key
Press the Next button
Press the Add Relationship button
Select OPPORTUNITY as the Entity
Select ACTIVITY as the Related Entity
Specify the column on the ACTIVITY Entity that is the Foreign Key to OPPORTUNITY - eg OPPORTUNITYID
Press the Create button
Drill on the Schema and the overview should look like this
Tip: You can add multiple child Entities related to the Primary Entitiy