That's good for efficiency and speed to have your relationships set up but it isn't essential. But you should create a query to be the record source for your report. In the query you relate two or more tables according to what you need for the report.

In a select query, in general the "many" table will drive the number of records the query will display and the data you include from the "one" table will replicate itself in each record. For example, say you have a table containing 100 orders, and another table containing 5 SalesPeople. Each sales person is responsible for 20 orders. You link the two tables on the SalesPersonID. In the query each sales person will occur 20 times along with the orders they are responsible for.