The similarity join has become an important database primitive for supporting similarity searches and data mining. A similarity join combines two sets of complex objects such that the result contains all pairs of similar objects. Two types of the similarity join are well-known, the distance range join, in which the user defines a distance threshold for the join, and the closest pair query or k-distance join, which retrieves the k most similar pairs. In this paper, we propose an important, third similarity join operation called the k-nearest neighbour join, which combines each point of one point set with its k nearest neighbours in the other set. We discover that many standard algorithms of Knowledge Discovery in Databases (KDD) such as k-means and k-medoid clustering, nearest neighbour classification, data cleansing, postprocessing of sampling-based data mining, etc. can be implemented on top of the k-nn join operation to achieve performance improvements without affecting the quality of the result of these algorithms. We propose a new algorithm to compute the k-nearest neighbour join using the multipage index (MuX), a specialised index structure for the similarity join. To reduce both CPU and I/O costs, we develop optimal loading and processing strategies.