How much do you know about SQL databases? What normal form are they in (3N, 5N, …)? What database are you using (MySQL, Oracle, …)? How many joins are you doing on one page?
In general what makes something slow in SQL is dependent on many variables so it’s hard to say without more information. By default yii usually does lazy loading, meaning it will return you an object (Son for example)… then when you call Son->Father it will do another query to get the Father object. Again this all depends on how you query Son (also see: Relation Active Record and look at the section titled Relational Query Performance).
If you have a ton of joins on one page though, your best bet is to use DAO and manually do your query.