The sentence is typically completed as:

“Research shows that people who smoke cigarettes are more likely to get lung cancer than those who do not smoke. This research alone demonstrates that smoking and lung cancer are correlated.”

In other words, the study shows an association (a statistical relationship) between smoking and lung cancer, but by itself it does not prove that smoking is the direct cause of lung cancer. Proving causation requires additional evidence (like ruling out other factors, dose–response patterns, biological mechanisms, etc.), while this single finding only guarantees a correlation.