We describe the use of graphical exercises to explain the concepts of covariance and correlation as they are used in an undergraduate course on probability and statistics. Students seem unable to grasp the concepts and interpretation, although they can perform the necessary calculations to provide values for both the covariance and the correlation coefficient. We provide examples that help to illustrate the two key concepts of covariance and correlation. These examples show the importance of understanding the meaning of correlation. We use graphical methods to support our numerical approaches.