Molly's Second Cousin

[Ferrus]

but in the back of my head I remember that DD doesn't lie, not ven tiny white lies

Dumbledore doesn´t lie, but he can (and I think does) hide the truth, which strictly speaking isn´t lying

[Athena Appleton]

Or he might not know about a relation thats the only way I could see it.

Actually, you've hit the nail on the head. I think this is the case. Either that, or he's hiding the truth, which, like EWPZ said, strictly speaking, is not "lying".

There are one or two instances where Dumbledore does fib, when there's no other way. He lies about the DA to Fudge. I think it's possible, if he knows that Harry hates hates hates being at the Dursleys, and being a rebellious teenager, thinks there's ANYWHERE else he could go, Dumbledore would consider saying "no relatives" instead of throwing in the "no direct blood relatives"... Just that Harry would pick up on that and try to find another relative somewhere where the protection wouldn't be as great...

[Athena Appleton]

AAAAAAHHHH!!!!! I KNEW there was something to this!!!!

Taken from J.K. Rowling's site:

The accountant cousin had been very rude to the Weasleys in the past, but when he and his muggle wife had a witch for a child, they asked the Weasleys if they could introduce her to the wizarding world before she started her Hogwarts education. The Weasleys were going to take her for the latter part of the summer the year of the World Cup (she would have been in Goblet of Fire, staying with the Weasleys with Harry and Hermione), and they would soon figure out that the second cousin and his wife just didn't want to deal with the brat of a child any longer than necessary. Mafalda (that's the kid's name... good thing she turned out being a witch with a name like that) turned out to be in Slytherin, and was supposed to report the activities of Harry and Co. to Voldemort.

It was eventually cut from the book, but that's why a mysterious Muggle second cousin is mentioned in the first book.