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Ligatures shouldn't be confused with legato slurs though. Most slurs you see designate legato articulation, which means, as ArcticWind7 said, that those notes are to be played without interruption, as a constant stream. (As mentioned, for string instruments on one bow, for winds without tonguing, for the piano to make no pause between one and the next note.)
Legato slurs do not designate phrases, it is merely an articulation. Phrases are designated by ligatures, which look exactly the same as legato slurs, but are often longer. It is not always totally clear which one is meant though, but if it's a relatively low number of notes it covers you can generally assume it's a legato.
There's also the tie, looks the same again, which always connects two notes of the same pitch, and is used to bind notes over a measure or some other division.
Pedal use is either not notated at all, or designated by "Ped" followed either by a dotted line to when it ends, or an asterisk (*) at the point when it should be lifted.
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