When should I use require() and when to use define()?

I have being playing around with requirejs for the last few days. I am trying to understand the differences between define and require.

Define seems to allow for module separation and allow for dependency ordering to be adhere. But it downloads all the files it needs to begin with. Whilst require only loads what you need when you need it.

Can these two be used together and for what purposes should each of them be used?