If you are new to EF and starting with EF4, the easy answer ignores this - you will almost certainly use foreign key associations, not independent associations.
Foreign key association is based on the relationship of foreign keys in the database, and this relationship is explicitly described in the conceptual model. Such an association is new to EF4, and I understand that this is a concession after problems faced by people with independent associations.
Strictly, if you want to separate the storage scheme and the conceptual scheme (which is a kind of EF point), you do not want your conceptual scheme to know about things such as foreign keys, such as a database (i.e. storage) concept. Earlier versions of EF followed this approach, and we call it the Independent Association.
Think of independent associations as associations that are tracked by EF without knowing the primary foreign key. EF still supports this, but they have significant flaws.
EF4 in VS2010 will use your foreign keys and create relationships with a foreign key, unless you say otherwise. In general, these works, as expected. There are some more touches - for example. around cascading deletions.
If you want to learn EF - I can recommend this book:
http://learnentityframework.com/learnentityframework/
Everything you want to know is very clearly explained.
James gaunt
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