Most conjunctions link one clause or phrase to another: a coordinate conjunction (like "but" and "or") links two clauses or phrases that are at the same level; a subordinate conjunction (like "although" and "since") links one clause to another one that is at a higher level. Each main clause of a sentence is such that it could still make a complete sentence on its own if you cut off all other clauses plus al conjunctions.
A correlative "conjunction" (like "not only ... but also ...") is basically a subclass or an extension of coordinate conjunctions. As can be seen, a correlative conjunction uses a coordinate conjunction with some extra adverbs in a fixed order (first "not only", then "also"), which could be in either of the two parallel clauses or both.
The only interesting thing about them is that some have an adverb in the first phrase that is only used when a parallel phrase with a specific linked conjunction follows: if you see "either", you know there must be an "or" following it; note that this "or" may be implicit, as in "I don't think either one of them [or the other] did it". But to many correlative conjunctions this does not apply, like "not ... but".
Here follows my own personal, provisional, highly biased opinion, which it would be an honour to receive counter-arguments to. The term "correlative conjunction" is only useful as a category in school books: there is nothing syntactically unique to it; and it is not very useful in linguistics, because there is nothing significant that distinguishes a correlative conjunction from any other combination of conjunction plus adverbial constituent. The fact that it links two closely related phrases is nothing special, unless defined in some exclusive way that I am unaware of. I hope someone can prove me wrong.