A tie indicates that two notes of the same pitch are to sound as one. A tie can be used to extend a note over a barline, to clarify the appearance of a rhythmic pattern, or to notate a rhythmic value that wouldn't be possible with a single note.
To tie two or more notes together just select them and then click on the Tie tool. The Untie tool works the same way to untie them. When the first note of a tied pair is selected you'll see a little grab box halfway along the tie; this can be used to adjust the height of the tie up or down, and can also be used to flip its direction.