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Data relationships are necessary if you would like to look for members of one data extension (audience) that have a certain attribute, but are filtering from a separate data extension (audience). The two audiences need to have at least one similar field so that they can be connected to one another. Creating a data relationship will allow you to always filter between the two audiences (data extensions)
This article will help you build a data extract in Marketing Cloud to export the information from a data extension to the safehouse or an FTP