Jambofun has explained why. Here is a more efficient way of doing it:
c.execute("SELECT * FROM Student, Behaviour")
data = c.fetchall()
currentRecords = open('Current Records - Unsorted', 'w')
dashes = '----------------------------------'
l = []
for i in data: #for individual records in the whole database do:
record = str(i)
record = record.replace("u'","")
record = record.replace("'", "")
record = record.replace("(","")
record = record.replace(")", "")
record = record.replace(","," -")
record = "\r\n".join((record, dashes)) + "\r\n"
currentRecords.write(record)
l.append(''.join(l))
Note the last line, I am not sure you are doing what you want to do. You are accumulating all the records to the moment.