If you're new to EF and starting with EF4 the easy answer is ignore this - you will almost certainly be using Foreign Key Associations rather than Independent Associations.
A Foreign Key Association is backed by a foreign key relationship in the database and this relationship is explicitly described in the conceptual model. This kind of association is new to EF4 and I understand it is a concession following the issues people had with Independent Associations.
Strictly if you want to separate the storage schema and the conceptual schema (which is kind of the point of EF) you wouldn't want your conceptual schema to know about things like foreign keys as these are a database (i.e. storage) concept. Earlier versions of EF followed this approach and we have this thing called an Independent Association.
Think of Independent Associations as associations that are tracked by EF without the knowledge of the underlying foreign key. EF still supports this but they have significant weaknesses.
EF4 in VS2010 will use your Foreign Keys and create Foreign Key relationships unless you tell it otherwise. On the whole these work as you would expect. There are still some gotchas - e.g. around cascading deletes.
If you want to learn EF - I can recommend this book:
http://learnentityframework.com/learnentityframework/
Everything you want to know, very clearly explained.