Slight clarification -
Historically, in database lingo, the "primary" key is the one that uniquely identifies a record (also called a "row") in the table. A record can have many keys, and even many unique keys, but usually only one of them is referred to as the "primary" key. According to this page - http://en.wikipedia.org/wiki/Unique_key "Each table can have at most one primary key."
The primary key in the first table will be used as the "foreign key" in any other table when the other table needs to refer to one specific record in the first table.
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Example: Suppose we are a shipping company that delivers products throughout the Southwest US.
Our company table has a primary key called CompID, and CompID number 666 uniquely refers to Acme Corporation.
Our Customer table has a primary key called CustID that uniquely identifies Acme's best customer, Wile E Coyote, as CustID number 54321.
On our Shipment table, on each record where we are delivering Wile E Coyote another ill-fated device from Acme, we use CustID 54321 and CompID 666 as foreign keys to identify the customer and company.
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Now, I've hedged a bit here, because in the wide world, the "primary key" isn't necessarily one field - it could be a combination of three different fields. For example, social security number isn't guaranteed to be unique - the US government reuses them, and occasionally has issued two living people the same SS#, so you might need SS#, first four digits of last name, and birthdate to ensure that you've uniquely identified a historical person from the twentieth or twenty-first century.
We don't usually use those multifield *primary* keys in Access. In Access, common practice is to have the primary key be an autonumber field where Access is responsible for assigning a number to each record, a number which is guaranteed to be unique but not guaranteed to be sequential.
This type of primary key is technically called a "surrogate key", because it's a replacement (a surrogate) for some other combination of fields that is considered too unwieldy (or too sensitive) to use in practice. In Access, it's usually just called an autokey or autonumber key field.
GLOSSARY OF KEY TERMS:
"primary" - unique, indexed, and used in different tables as foreign key to this one. Cannot be Null.
"unique" - there can only be one record with each key value. Nulls could be allowed.
"indexed" - the database is responsible for being able to find efficiently records by the value of this field, so it keeps an "index" to records by the value in the key.
"foreign" - the primary key for a different table.
"natural" - consists of data that exist in the real world.
"candidate" - any one of a number of fields (or combinations of fields) that exist in the real world data, that could potentially be selected for the primary key.
"surrogate" - a replacement key, unique, not a natural part of the data