Relationship in View I need to have two content type: "book" and "article".
Then I want to make a view that shows the title of the book (which is in the content type book) and the titles of each article (found in the content type article).  Which field should I add to the content type "article" to make sure it is plugged into a certain book? And how do I set the View?
Although your question seems a bit less detailed than it should be, I assume that you need some way to connect a node type (article) to another node type (book). For this you can use References module or Entity References will be even better.

You can add an entity reference field to book content type. Then, when you create a book, you can select relevant articles. If you want to have two-way relationship (book &lt;--> article) then you can also use this module: drupal.org/project/cer
A good addition can be this module also: http://drupal.org/project/inline_entity_form which allows you to create or select your articles when you create a book.

Then in your view, you can show book's titles as fields.
Add a relationship with your entity refrence field.
Add a field "title" but select relationship you just added.
Group the results by first field (title only)