You can create traceability links to show any kind of relationship between two model objects (including between objects in different models) via the Traceability Links tab of the object's property sheet. These links are used for documentation purposes only, and are not interpreted or checked by PowerDesigner.
For more information about traceability links, see Core Features Guide > Linking and Synchronizing Models > Getting Started with Linking and Syncing > Creating Traceability Links.