Inspector - Frank Martin Relationship

Their relationship in the movie is never fully explained or if they even previously knew each other. They seem to be on terms of having run across one another more than once though. I think the inspector knows what Frank is into but respects his methods even though he is breaking the law. The inspector says "military people have always intrigued me" further proving they might have had dealings in the past. They didn't know each other from the military but the inspector either did some research on Frank or saw how precise and neat Frank is along with his mannerisms and physical shape to know he was an ex commando or other highly trained soldier(yes it is only a movie).

To actually answer your question(as best I can) no they didn't have any real relationship before the events in the movie started(other than maybe a casual acquaintanceship).