Within the framework of Information Theory, the existence of correlations between two random variables means that we can obtain information about one of them, just by measuring or observing the other random variable. In certain cases, this kind of relationship allows obtaining information about a variable even when the other is separated by a very large distance, that is, the process of obtaining information is non-local, an example (if not the only) is the quantum entanglement. These features of correlations make it interesting and important to study, classify and quantify them. The correlations are classified into classical correlations and quantum correlations, in addition they are quantified through the mutual information. Here we will present a natural way to define classical mutual information and then we will generalize it to the quantum case. Furthermore, every term in the definitions of mutual information will be interpreted using the concepts of classical and quantum entropy.