Take these tables for example.
Item
id
description
category
Category
id
description
An item can belong to many catego
Yes, you need to create a third table with mappings of ids, something with columns like:
item_id (Foreign Key)
category_id (Foreign Key)
edit: you can treat item_id and category_id as a primary key, they uniquely identify the record alone. In some applications I've found it useful to include an additional numeric identifier for the record itself, and you might optionally include one if you're so inclined
Think of this table as a listing of all the mappings between Items and Categories. It's concise, and it's easy to query against.
edit: removed (unnecessary) primary key.