When you see a curved line over (or under) two notes it is called a slur. It's an unfortunate term for this musical effect because it is not at all like when you slur your words, for example, making them indistinct and muddled. A slur in music is not that.
When I ask students who were self-taught or had previous lessons what a slur is, they either don't know, or answer that it means the slurred notes are played legato. Legato is pretty much the "default," that is, it's what you'd assume unless the notes were marked staccato. (See my previous post.) So a slur would not mean the same thing as you would do anyway or it would be meaningless.
A slur is very specific. It is emphasis on the first note and de-emphasis on the second. So yes, they are legato (usually -- see below), but not evenly stressed. Think of how you say most two-syllable words: there is more emphasis on the first syllable than on the second. If you were to emphasize both equally it would probably sound robotic. So a slur is a very natural sound. It is often graceful, as you mind find in music of Mozart, for example.
If you ask someone how to achieve this effect, they might say just play the first note louder. Technically, the first note would be louder, but if you try to achieve this effect with just fingers, the notes won't likely have the graceful sound that a slur should have. If you had a long quick run of slurred notes and tried to do loud-soft-loud-soft etc. with fingers alone, it would be difficult. Again, this is a technique which requires the arm. The weight of the arm on the first note gives it the desired emphasis, and the "release" on the second note gives it less than the first. You could do this motion many times in a row with consistent evenness, speed, and no strain.
Students sometimes confuse a slur with tied notes or phrase markings. A tie is between two notes that are the same note, and indicate the second note is held but not played. A curved line over a group of notes means they should sound, well, like a group! It is not the same as a slur but people will tell you, incorrectly, that it is. I like to call a grouping of notes a "phraselet" -- a mini phrase -- which would be within a larger phrase. Again, spoken language would have many instances of something like this.
Chords and octaves can also be slurred. The same concept applies: emphasis/de-emphasis.
Can a slur occur on two of the same note? Yes it can, and you'll find many instances of this. It would be essentially the same as with two different notes; the weight of the arm on the first, and the release of the arm on the second. Try doing it with fingers alone and you'll see it's very awkward, but with the arm it becomes quite simple.
I'm currently playing a piece by Ravel entitled Oiseaux Tristes ("Sad Birds"). It is an amazing and haunting piece which beautifully evokes the calls of birds. The primary motif, which opens the piece, is a slur on two of the same note. In addition, both notes are marked staccato (see my previous post for in-depth discussion of this). You might think this is a contradiction, since a slur is normally legato. To play this as Ravel intended, you would have the tiniest of detachment between notes, but it still sounds slurred because the first note is emphasized. Ravel even puts an accent over the first note, but I believe this is redundant, since a slur already has more emphasis on the first note. Throughout the piece, this motif is played ranging from soft (p) to extremely soft (ppp). The action of the arm must be delicate and extremely precise to achieve all of this together. It just can't be achieved with finger action alone. On top of all this, there would be pedal applied. You might think the "staccato" would be lost if it is pedaled, but in fact it is not; you can still hear the tiniest release of the note. As you can see, this situation has multiple layers of nuance. If you listen to a recording of the piece you will see what I mean. I give this example here to emphasize that musical terms such as "slur" are nuanced and can't be defined in an overly-simple way. Slurs require a technique which integrates the fingers, hand and arm.
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