If I understand your question correctly, you could link (Files | Get
External Data | Link...) tables into a database (one of the "separate mdb
files", or a new one), then build a query.
You can create a Query with an inner join, by using File... Get
External Data... Link to link to the second database; just create a
query with the two tables and join on the appropriate key field.
You cannot, however, use the Relationships Window to enforce
relational integrity between the two tables.