Estonian and Finnish are in the same language group, the Finno-Ugric languages) which is totally unrelated to any other language groups, as far as I know.

Finnish and Estonian (the Finnic branch) are related to Hungarian (the Ugric branch). They, and Sami (sometimes called Lappish), make up the bulk of Finno-Ugric. This Wikipedia article (accessed 08/13/07, 13:20 PDT) is a good overview. There's a good map there showing the distreibution of the languages.