It is a Fieldfare (Turdus pilaris), it belongs to the genus Turdus ( Thrushes) of the Turdidae family of the passeridae order (sparrow family), of which also the house sparrow (Passer domesticus), the one we Finns commonly call just "sparrow" is a subspecies in.

So, in conclusion they are not in the same species, nor genus, nor family, but in order Passerines (songbirds).

(I paraphrased a lot reading from Wikipedia so it may or may not be inaccurate, but I think it's pretty much okay.)

All-in-all they are very distant relatives, being subspecies of separate families under one common order.