Matthew,
you can store fixed data in your code memory in the form of tables or individual bytes etc., If you are talking about variable data storage for say data logging applications then you will need some form of external ram chip.
Check out this site at http://www.ustr.net/lcs001.shtml and it will explain the use of EPROM and external ram .
Before you start spending lots of money on EPROM programmers and UV erasers check out the newer microcontrollers with flash memory and internal ram storage.Do a search on this forum.I'm very new to this too - read the tutorials link on the 8052 website and do searches for the topics you are intersted in .There is a huge amout of good info out there.
Phil Bassett.