An example of this would be where you have 2 files one for Opportunities and a second for Accounts. In this case, the Primary Entity is OPPORTUNITY and the second Entity is ACCOUNT 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 Account
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 - suggest the is left blank
Press the Add Entity button
Add the Secondary Entity Name - eg ACCOUNT and specify a Primary Entity Label
Specify the column name that is unique for each row as the Primary Key
Specify the Sort Order - suggest this is left blank
Press the Next button
Press the Add Relationship button
Select ACCOUNT as the Entity
Select OPPORTUNITY as the Related Entity
Specify the column on the OPPORTUNITY Entity that is the Foreign Key to ACCOUNT - eg ACCOUNTID
Press the Create button
Drill on the Schema and the overview should look like this
