While they didn't actually meet in a single movie, their first encounter was in the animated series episode "Joker's Favor". Harley Quinn, then known as Harleen Quinzel, was a psychiatrist working at Arkham Asylum. She was assigned to treat The Joker and became infatuated with him.
This led to her transformation into Harley Quinn, and their relationship has been a major part of DC Comics lore ever since.