Should I create a extra relation-table when I have two columns in one table referencing to one column in another table

The IBM Redbooks have a couple of good titles on modeling a data warehouse.

• Data Modeling Techniques for Data Warehousing
• Dimensional Modeling: In a Business Intelligence Environment

You might be better served with an OLTP database in 5NF, though. It's not hard to test simplified versions of both.

UPDATED version based on feedback:

CREATE TABLE group (
    group_id INT NOT NULL AUTO_INCREMENT,
    name VARCHAR(255),
    PRIMARY KEY(team_id)
);

CREATE TABLE player (
    player_id INT NOT NULL AUTO_INCREMENT,
    last_name VARCHAR(50),
    first_name VARCHAR(50),
    group_id INT,
    player_rank INT,
    PRIMARY KEY(player_id)
);

CREATE TABLE game (
    game_id INT NOT NULL AUTO_INCREMENT,
    match_date DATE,
    overtime TINYINT(1) NOT NULL DEFAULT 0,
    PRIMARY KEY (game_id)
);

CREATE TABLE player_game (
    game_id INT NOT NULL,
    player_id INT NOT NULL,
    player_score INT,
    PRIMARY KEY (game_id, player_id)
);

...and UPDATED explanation: I think group and player are self-explanatory. The table game will have one record per match. The player_game table records the players in a match and the results; each match will have two records, one for each player.

Since you appear to be using InnoDB as the storage engine you may want to use foreign keys to enforce referential integrity, and obviously you can add other constraints and indexes as needed. If you need some functionality that this doesn't seem to cover, ask and I will either explain or add it.