I have two tables Activity and Action. One or more actions can be performed for an activity. And the relationships between Activity and Action is given in a third table call
This should do the trick
SELECT Activity.ActivityText as Activity, Action.ActionText as ApplicableAction
FROM ActivityAction
INNER JOIN Activity
ON ActivityAction.ActivityId = Activity.ActivityId
INNER JOIN Action
ON ActivityAction.ActionId = Action.ActionId
You should read up on JOINS in databases. Here is a good starting point:
http://en.wikipedia.org/wiki/Join_%28SQL%29
Basically what we have here is a many to many relationship between Activity and Action which is resolved by two one-to-many relationships using the a join table called ActivityAction.
To get the required data back, we are joining ActivityAction to each one of the tables using the appropriate PK and FK columns and then choosing the string columns in the SELECT